Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso
Pouliquen, Can, Gonçalves, Paulo, Massias, Mathurin, Vayer, Titouan
–arXiv.org Artificial Intelligence
We provide a framework and algorithm for tuning the hyperparameters of the Graphical Lasso via a bilevel optimization problem solved with a first-order method. In particular, we derive the Jacobian of the Graphical Lasso solution with respect to its regularization hyperparameters.
arXiv.org Artificial Intelligence
Jul-5-2023