Paper ID: 2307.02130

Implicit Differentiation for Hyperparameter Tuning the Weighted Graphical Lasso

Can Pouliquen, Paulo Gonçalves, Mathurin Massias, Titouan Vayer

We provide a framework and algorithm for tuning the hyperparameters of the Graphical Lasso via a bilevel optimization problem solved with a first-order method. In particular, we derive the Jacobian of the Graphical Lasso solution with respect to its regularization hyperparameters.

Submitted: Jul 5, 2023