Fused and Group Graphical Lasso

skggm / skggm

Scikit-learn compatible estimation of general graphical models

https://skggm.github.io/skggm/tour

MIT License

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Fused and Group Graphical Lasso #128

Open haluk opened 3 years ago

haluk commented 3 years ago

Does the package support FGL and GGL? If it doesn't, how difficult to add them to the current API?

mnarayan commented 3 years ago

Hi @haluk

I believe we could add support for extending the QUIC solver to support GGL or the mixed l1/l1,p norm, if we added cython support for the functions found in QUIC-mixed.C. Here is the original paper proposing this solver.

For a comparison point take a look at the cython code for the QUIC algorithm in pyquic

PRs would be very welcome and would also solve the enhancement requested in #17