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