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Smooth Optimization Approach for Covariance Selection

Zhaosong Lu (zhaosong***at***sfu.ca)

Abstract: In this paper we study a smooth optimization approach for solving a class of non-smooth {\it strongly} concave maximization problems. In particular, we apply Nesterov's smooth optimization technique \cite{Nest83-1,Nest05-1} to their dual counterparts that are smooth convex problems. It is shown that the resulting approach has $\cO(1/{\sqrt{\epsilon}})$ iteration complexity for finding an $\epsilon$-optimal solution to both primal and dual problems. We then discuss the application of this approach to covariance selection that is approximately solved as a \textit{L1-norm} penalized maximum likelihood estimation problem, and also propose a variant of this approach which has substantially outperformed the latter one in our computational experiments. We finally compare the performance of these approaches with two other first-order methods studied in \cite{DaOnEl06}, that is, Nesterov's $\cO(1/\epsilon)$ smooth approximation scheme, and block-coordinate descent method for covariance selection on a set of randomly generated instances. It shows that our smooth optimization approach substantially outperforms their first method, and moreover, its variant tremendously outperforms their both methods.

Keywords: Covariance selection, non-smooth strongly concave maximization, smooth minimization

Category 1: Convex and Nonsmooth Optimization

Category 2: Applications -- Science and Engineering (Statistics )

Citation: Working Paper, Department of Mathematics, Simon Fraser University, Burnaby, BC, V5A 1S6, Canada, June 2007.

Download: [PDF]

Entry Submitted: 06/29/2007
Entry Accepted: 06/29/2007
Entry Last Modified: 07/03/2007

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