Solving Log-Determinant Optimization Problems by a Newton-CG Primal Proximal Point Algorithm

We propose a Newton-CG primal proximal point algorithm for solving large scale log-determinant optimization problems. Our algorithm employs the essential ideas of the proximal point algorithm, the Newton method and the preconditioned conjugate gradient solver. When applying the Newton method to solve the inner sub-problem, we find that the log-determinant term plays the role of a smoothing term as in the traditional smoothing Newton technique. Focusing on the problem of maximum likelihood sparse estimation of a Gaussian graphical model, we demonstrate that our algorithm performs favorably comparing to the existing stateof-the-art algorithms and is much more preferred when a high quality solution is required for problems with many equality constraints.

• Type: Journal
• Year: 2010
• Where: SIAMJO
• Authors: Chengjing Wang, Defeng Sun, Kim-Chuan Toh
• Keywords: Conjugate Gradient Solver, Primal Proximal Point, Proximal Point Algorithm, SIAMJO 2010