This article proposes a constrained ℓ₁ minimization method for estimating a sparse inverse covariance matrix based on a sample of n iid p-variate random variables. The resulting estimator is shown to ...

Methods of this class are receiving attention due to the development of efficient interior point techniques for solving subproblems with this structure, via formulating them as second-order cone ...

Linear Programming: Basics, Simplex Algorithm, and Duality. Applications of Linear Programming: regression, classification and other engineering applications. Integer Linear Programming: Basics, ...