Alternating Linearization Method for Sparse Inverse Covariance Selection (Graphical Lasso)

A matlab code for sparse inverse covariance selection. [download]

Reference:

• Katya Scheinberg, Shiqian Ma and Donald Goldfarb. Sparse Inverse Covariance Selection via Alternating Linearization Methods. Twenty-Fourth Annual Conference on Neural Information Processing Systems (NIPS). 2010. [link]