Thresholded Adaptive Validation: Tuning the Graphical Lasso for Graph Recovery

• Published in: arXiv.org
• Main Authors: Laszkiewicz, Mike, Fischer, Asja, Lederer, Johannes
• Format: Paper
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 30.03.2021
• Subjects: Calibration; Computer simulation; Parameters; Recovery; Regularization; Resampling

Many Machine Learning algorithms are formulated as regularized optimization problems, but their performance hinges on a regularization parameter that needs to be calibrated to each application at hand. In this paper, we propose a general calibration scheme for regularized optimization problems and a...