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Fused and Group Graphical Lasso #128

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haluk opened this issue Oct 16, 2020 · 1 comment
Open

Fused and Group Graphical Lasso #128

haluk opened this issue Oct 16, 2020 · 1 comment

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@haluk
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haluk commented Oct 16, 2020

Does the package support FGL and GGL? If it doesn't, how difficult to add them to the current API?
@mnarayan
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mnarayan commented Dec 24, 2020 •
edited

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

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@haluk @mnarayan