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FEAT - Add Non Convex Graphical Lasso #277

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mathurinm opened this issue Sep 23, 2024 · 0 comments
Open

FEAT - Add Non Convex Graphical Lasso #277

mathurinm opened this issue Sep 23, 2024 · 0 comments

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@mathurinm
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Add a non convex graphical lasso solver with reweighting:

  • use sklearn code to implement a WeightedGraphicalLasso
  • add a wrapper to fit it ~5 times a la IterativeRewieghtedL1 with updated weights at each iteration

Could be a good first project for ENS students @QB3
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@mathurinm