Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

Can Pouliquen,Paulo Gonçalves,Mathurin Massias,Titouan Vayer

arXiv.org（2023）

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Abstract

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.

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