Section: New Results

Proximal approaches for matrix optimization problems: Application to robust precision matrix estimation

Participants: Emilie Chouzenoux, Jean-Christophe Pesquet (Collaboration: Alessandro Benfenati, Universita di Milano)

In recent years, there has been a growing interest in mathematical models leading to the minimization, in a symmetric matrix space, of a Bregman divergence coupled with a regularization term. We address problems of this type within a general framework where the regularization term is split into two parts, one being a spectral function while the other is arbitrary. A Douglas–Rachford approach is proposed to address such problems, and a list of proximity operators is provided allowing us to consider various choices for the fit–to–data functional and for the regularization term. Based on our theoretical results, two novel approaches are proposed for the noisy graphical lasso problem, where a covariance or precision matrix has to be statistically estimated in presence of noise. The Douglas–Rachford approach directly applies to the estimation of the covariance matrix. When the precision matrix is sought, we solve a nonconvex optimization problem. More precisely, we propose a majorization–minimization approach building a sequence of convex surrogates and solving the inner optimization subproblems via the aforementioned Douglas–Rachford procedure. We establish conditions for the convergence of this iterative scheme. We illustrate the good numerical performance of the proposed approaches with respect to state–of–the–art approaches on synthetic and real-world datasets [4].