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Title: Covariate Adjusted Precision Matrix Estimation via Nonconvex Optimization
We propose a nonconvex estimator for the covariate adjusted precision matrix estimation problem in the high dimensional regime, under sparsity constraints. To solve this estimator, we propose an alternating gradient descent algorithm with hard thresholding. Compared with existing methods along this line of research, which lack theoretical guarantees in optimization error and/or statistical error, the proposed algorithm not only is computationally much more efficient with a linear rate of convergence, but also attains the optimal statistical rate up to a logarithmic factor. Thorough experiments on both synthetic and real data support our theory.  more » « less
Award ID(s):
1652539 1717206 1618948
PAR ID:
10063536
Author(s) / Creator(s):
; ; ; ;
Date Published:
Journal Name:
International Conference on Machine Learning
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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