/ADMM

This Matlab package solves the sparse and low-rank covariance matrix estimation.

Primary LanguageMATLABGNU General Public License v3.0GPL-3.0

ADMM

This Matlab solver was created based on the algorithm proposed by S. Zhou, N. Xiu, Z. Luo and L. Kong, (2015), Sparse and Low-Rank Covariance Matrix Estimation, Journal of the Operations Research Society of China, 3(2): 231-250.