A Novel Approach to Sparse Inverse Covariance Estimation Using Transform Domain Updates and Exponentially Adaptive Thresholding
This addresses a key data mining problem for recovering connectivity graphs, but appears incremental as it builds on existing SICE approaches.
The paper tackles sparse inverse covariance estimation by introducing a method using transform domain updates and exponentially adaptive thresholding, showing it outperforms state-of-the-art methods in accuracy.
Sparse Inverse Covariance Estimation (SICE) is useful in many practical data analyses. Recovering the connectivity, non-connectivity graph of covariates is classified amongst the most important data mining and learning problems. In this paper, we introduce a novel SICE approach using adaptive thresholding. Our method is based on updates in a transformed domain of the desired matrix and exponentially decaying adaptive thresholding in the main domain (Inverse Covariance matrix domain). In addition to the proposed algorithm, the convergence analysis is also provided. In the Numerical Experiments Section, we show that the proposed method outperforms state-of-the-art methods in terms of accuracy.