R
(with C++
speed-up) implementation of the SyGlasso algorithm for tensor-variate Gaussian graphical model estimation. The main algoritm is in syglasso.R
; simulations can be run from run_syglasso.R
The original paper is:
Y. Wang, B. Jang, A.O.Hero. The Sylvester Graphical Lasso (SyGlasso). AISTATS 2020. (http://proceedings.mlr.press/v108/wang20d/wang20d.pdf)