Distributionally Robust Formulation and Model Selection for the Graphical Lasso
Project description
Robust Selection
Python Package by C Tran, P Cisneros-Velarde, A Petersen and S-Y Oh
This repository provides a Python package for Robust Selection algorithm for estimation of the graphical lasso regularization parameter.
P Cisneros-Velarde, A Petersen and S-Y Oh (2020). Distributionally Robust Formulation and Model Selection for the Graphical Lasso. Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics. [PMLR][Papers with Code]
Dependencies
The code contained in this repository was tested on the following configuration of Python:
- python=3.7.4
- robust-selection=0.0.7
- numpy=1.17.4
- scipy=1.3.1
- scikit-learn=0.22.1
- networkx=2.4
- pandas=0.25.3
Installation
pip install robust-selection
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