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