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Large-Scale Convex Minimization with a Low-Rank Constraint
Large-Scale Convex Minimization Low-Rank Constraint
2011/7/6
We address the problem of minimizing a convex function over the space of large matrices with low rank. While this optimization problem is hard in general, we propose an efficient greedy algorithm and ...
A Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation
constrained ℓ 1 minimization covariance matrix Frobenius norm Gaus-sian graphical model rate of convergence precision matrix spectral norm
2011/3/21
A constrained L1 minimization method is proposed for estimating a sparse inverse covariance matrix based on a sample of $n$ iid $p$-variate random variables. The resulting estimator is shown to enjoy ...