Solving Log-Determinant Optimization Problems by a Newton-CG Primal Proximal Point Algorithm

@article{Wang2010SolvingLO,
  title={Solving Log-Determinant Optimization Problems by a Newton-CG Primal Proximal Point Algorithm},
  author={Chengjing Wang and Defeng Sun and Kim-Chuan Toh},
  journal={SIAM Journal on Optimization},
  year={2010},
  volume={20},
  pages={2994-3013}
}
We propose a Newton-CG primal proximal point algorithm for solving large scale log-determinant optimization problems. Our algorithm employs the essential ideas of the proximal point algorithm, the Newton method and the preconditioned conjugate gradient solver. When applying the Newton method to solve the inner sub-problem, we find that the log-determinant term plays the role of a smoothing term as in the traditional smoothing Newton technique. Focusing on the problem of maximum likelihood… CONTINUE READING
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