Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

07/05/2023

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by   Can Pouliquen, et al.

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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.