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.
Fixed-point continuat ion for \ ell_1-minimization: Methodology and conver- gence
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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.