GISS^ρ is a greedy algorithm for sparse precision matrix estimation with analyzed asymptotic convergence and sparsity recovery, showing numerical advantages over ADMM and HTP.
Convergence of the lineari zed bregman iteration for l1-norm minimization, 2008
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A greedy algorithm for sparse precision matrix approximation
GISS^ρ is a greedy algorithm for sparse precision matrix estimation with analyzed asymptotic convergence and sparsity recovery, showing numerical advantages over ADMM and HTP.