Did you notice the `cov_init` parameter?, or maybe it was added after your
comment?
On Wed, Nov 9, 2011 at 4:13 PM, Lars Buitinck <[email protected]> wrote:
> 2011/11/9 <[email protected]>:
> > The graph looks very good, good advertising.
>
> Yep, pretty picture ;)
>
> > 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?
>
> I suppose the cleanest solution would be to just move the guts of the
> algorithm to a function graph_lasso_from_covariance and call that in
> graph_lasso.
>
> --
> Lars Buitinck
> Scientific programmer, ILPS
> University of Amsterdam
>
>
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