## Abstract

In this paper we first study a smooth optimization approach for solving a class of nonsmooth strictly concave maximization problems whose objective functions admit smooth convex minimization reformulations. In particular, we apply Nesterov's smooth optimization technique [Y. E. Nesterov, Dokl. Akad. Nauk SSSR, 269 (1983), pp. 543-547; Y. E. Nesterov, Math. Programming, 103 (2005), pp. 127-152] to their dual counterparts that are smooth convex problems. It is shown that the resulting approach has O(1/√∈) iteration complexity for finding an ∈-optimal solution to both primal and dual problems. We then discuss the application of this approach to sparse covariance selection that is approximately solved as an ℓ_{1}-norm penalized maximum likelihood estimation problem, and also propose a variant of this approach which has substantially outperformed the latter one in our computational experiments. We finally compare the performance of these approaches with other first-order methods, namely, Nesterov's O(1/∈) smooth approximation scheme and blockcoordinate descent method studied in [A. d'Aspremont, O. Banerjee, and L. El Ghaoui, SIAM J. Matrix Anal. Appl., 30 (2008), pp. 56-66; J. Friedman, T. Hastie, and R. Tibshirani, Biostatistics, 9 (2008), pp. 432-441] for sparse covariance selection on a set of randomly generated instances. It shows that our smooth optimization approach substantially outperforms the first method above, and moreover, its variant substantially outperforms both methods above.

Original language | English (US) |
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Pages (from-to) | 1807-1827 |

Number of pages | 21 |

Journal | SIAM Journal on Optimization |

Volume | 19 |

Issue number | 4 |

DOIs | |

State | Published - Dec 1 2008 |

Externally published | Yes |

## Keywords

- Nonsmooth strictly concave maximization
- Smooth minimization
- Sparse covariance selection