A Log-Det Heuristics for Covariance Matrix Estimation: The Analytic Setup
A Log-Det Heuristics for Covariance Matrix Estimation: The Analytic Setup
This paper studies a new nonconvex optimization problem aimed at recovering high-dimensional covariance matrices with a low rank plus sparse structure. The objective is composed of a smooth nonconvex loss and a nonsmooth composite penalty. A number of structural analytic properties of the new heuristics are presented and proven, thus …