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Sparse inverse covariance estimation with the graphical lasso. (English) Zbl 1143.62076
Summary: We consider the problem of estimating sparse graphs by a lasso penalty applied to the inverse covariance matrix. Using a coordinate descent procedure for the lasso, we develop a simple algorithm – the graphical lasso – that is remarkably fast: It solves a 1000-node problem (500000 parameters) in at most a minute and is 30-4000 times faster than competing methods. It also provides a conceptual link between the exact problem and the approximation suggested by N. Meinshausen and P. Bühlmann [Ann. Stat. 34, No. 3, 1436–1462 (2006; Zbl 1113.62082)]. We illustrate the method on some cell-signaling data from proteomics.

MSC:
62P10 Applications of statistics to biology and medical sciences; meta analysis
65C60 Computational problems in statistics (MSC2010)
05C90 Applications of graph theory
Software:
glasso
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