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Jul, 2023
加权图拉索隐式微分优化超参数调整
Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso
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Can Pouliquen, Paulo Gonçalves, Mathurin Massias, Titouan Vayer
TL;DR
通过一阶方法解决双层优化问题，推导Graphical Lasso解对其正则化超参数的Jacobi矩阵，为Graphical Lasso的超参数调整提供了框架和算法。
Abstract
We provide a framework and algorithm for tuning the
hyperparameters
of the
graphical lasso
via a
bilevel optimization
problem solved with
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