A new dual spectral projected gradient method for log-determinant semidefinite programming with hidden clustering structures
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866909226678353920 |
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| author | Namchaisiri, Charles Liu, Tianxiang Yamashita, Makoto |
| author_facet | Namchaisiri, Charles Liu, Tianxiang Yamashita, Makoto |
| contents | In this paper, we propose a new efficient method for a sparse Gaussian graphical model with hidden clustering structures by extending a dual spectral projected gradient (DSPG) method proposed by Nakagaki et al.~(2020). We establish the global convergence of the proposed method to an optimal solution, and we show that the projection onto the feasible region can be solved with a low computational complexity by the use of the pool-adjacent-violators algorithm. Numerical experiments on synthesis data and real data demonstrate the efficiency of the proposed method. The proposed method takes 0.91 seconds to achieve a similar solution to the direct application of the DSPG method which takes 4361 seconds. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_18284 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A new dual spectral projected gradient method for log-determinant semidefinite programming with hidden clustering structures Namchaisiri, Charles Liu, Tianxiang Yamashita, Makoto Optimization and Control 90C22, 90C25, 90C26 In this paper, we propose a new efficient method for a sparse Gaussian graphical model with hidden clustering structures by extending a dual spectral projected gradient (DSPG) method proposed by Nakagaki et al.~(2020). We establish the global convergence of the proposed method to an optimal solution, and we show that the projection onto the feasible region can be solved with a low computational complexity by the use of the pool-adjacent-violators algorithm. Numerical experiments on synthesis data and real data demonstrate the efficiency of the proposed method. The proposed method takes 0.91 seconds to achieve a similar solution to the direct application of the DSPG method which takes 4361 seconds. |
| title | A new dual spectral projected gradient method for log-determinant semidefinite programming with hidden clustering structures |
| topic | Optimization and Control 90C22, 90C25, 90C26 |
| url | https://arxiv.org/abs/2403.18284 |