• Corpus ID: 218470053

Thresholded Adaptive Validation: Tuning the Graphical Lasso for Graph Recovery

@inproceedings{Laszkiewicz2021ThresholdedAV,
  title={Thresholded Adaptive Validation: Tuning the Graphical Lasso for Graph Recovery},
  author={Mike Laszkiewicz and Asja Fischer and Johannes Lederer},
  booktitle={AISTATS},
  year={2021}
}
The graphical lasso is the most popular estimator in Gaussian graphical models, but its performance hinges on a regularization parameter that needs to be calibrated to each application at hand. In this paper, we propose a novel calibration scheme for this parameter. The scheme is equipped with theoretical guarantees and motivates a thresholding pipeline that can improve graph recovery. Moreover, requiring at most one line search over the regularization path of the graphical lasso, the… 
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