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Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso
- Source :
- GRETSI 2023-XXIX{\`e}me Colloque Francophone de Traitement du Signal et des Images
- Publication Year :
- 2023
-
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.
Details
- Database :
- arXiv
- Journal :
- GRETSI 2023-XXIX{\`e}me Colloque Francophone de Traitement du Signal et des Images
- Publication Type :
- Report
- Accession number :
- edsarx.2307.02130
- Document Type :
- Working Paper