Algorithm 1042: Sparse Precision Matrix Estimation with
SQUIC
Aryan Eftekhari,
Lisa Gaedke-Merzhäuser,
Dimosthenis Pasadakis
et al.
Abstract:We present
SQUIC
, a fast and scalable package for sparse precision matrix estimation. The algorithm employs a second-order method to solve the
\(\ell_{1}\)
-regularized maximum likelihood problem, utilizing highly optimized linear algebra subroutines. In comparative tests using synthetic datasets, we demonstrate that
SQUIC
not only scales to datasets of up to a million random variables but also consistently del… Show more
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