On Wed, Nov 9, 2011 at 6:21 AM, Gael Varoquaux <[email protected]> wrote: > Hi list, > > I'd like to ask for comments on the GraphLasso pull request that I have > put in. I think that it is ready for merge, even though it has been in > development for a short amount of time, because I have been working on > similar algorithms for more than two years. > > To give you a run-through, and try to interest you, the algorithm > implemented is a covariance learning algorithm, but it is particularly > useful to recover a graph of conditional independence from empirical > data. > > To apply it on real data (other than brain data, which is what I do), I > have adapted the example where we do unsupervised learning on the stock > market: > https://github.com/GaelVaroquaux/scikit-learn/blob/glasso/examples/applications/plot_stock_market.py > > I find that the result is really cool: > http://www.flickr.com/photos/66885349@N03/6328041585/sizes/l/in/photostream/ > > I welcome criticism and comments on the code, the documentation and the > examples in the pull request: > https://github.com/scikit-learn/scikit-learn/pull/431
The graph looks very good, good advertising. I have a general question. graph_lasso(X,....) takes the data array as an argument, but except calculating the empirical_covariance at the beginning X is not used anymore, as far as I could see. The algorithm looks very interesting, but I would have cases where I need to calculate the empirical_covariance myself (e.g. long run covariance which is a weighted average of covariance and covariance with lags). Would it be possible to use an empirical covariance instead of X as the main argument, or would you get design inconsistencies? Thanks, Josef > > Gael > > ------------------------------------------------------------------------------ > RSA(R) Conference 2012 > Save $700 by Nov 18 > Register now > http://p.sf.net/sfu/rsa-sfdev2dev1 > _______________________________________________ > Scikit-learn-general mailing list > [email protected] > https://lists.sourceforge.net/lists/listinfo/scikit-learn-general > ------------------------------------------------------------------------------ RSA(R) Conference 2012 Save $700 by Nov 18 Register now http://p.sf.net/sfu/rsa-sfdev2dev1 _______________________________________________ Scikit-learn-general mailing list [email protected] https://lists.sourceforge.net/lists/listinfo/scikit-learn-general
