Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

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Can Pouliquen, Paulo Gonçalves, Mathurin Massias, Titouan Vayer

Published: 05 Jul 2023, Last Modified: 30 Sept 2024GRETSI 2023EveryoneCC BY 4.0
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.