Large-Scale Sparse Inverse Covariance Estimation via Thresholding and Max-Det Matrix Completion
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The sparse inverse covariance estimation problem is commonly solved using an ℓ_1-regularized Gaussian maximum likelihood estimator known as "graphical lasso", but its computational cost becomes prohibitive for large data sets. A recent line of results showed--under mild assumptions--that the graphical lasso estimator can be retrieved by soft-thresholding the sample covariance matrix and solving a maximum determinant matrix completion (MDMC) problem. This paper proves an extension of this result, and describes a Newton-CG algorithm to efficiently solve the MDMC problem. Assuming that the thresholded sample covariance matrix is sparse with a sparse Cholesky factorization, we prove that the algorithm converges to an ϵ-accurate solution in O(n(1/ϵ)) time and O(n) memory. The algorithm is highly efficient in practice: we solve the associated MDMC problems with as many as 200,000 variables to 7-9 digits of accuracy in less than an hour on a standard laptop computer running MATLAB.
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