I'd like to minimize the objective

$ \operatorname{tr}[ (Y-XR^{-1})^T (Y-XR^{-1}) ] + \lambda \sum_{ij} |R_{ij}|$

wrt to $R$ (which is $P \times P$ but non-symmetric) where $Y$ and $X$ are both $N \times P$. For my application it would make sense to have the diagonal of $R$ constrained to 1 (and possibly that $\det{(I-R)} \leq 1$ also). Obviously $R$ needs to be invertible.

I'm pretty sure this is non-convex in $R$, but can it be converted into a convex problem? e.g. optimize over $W=R^{-1}$. (I realize if I put the L1 penalty on $W$ rather than $R$ I get a lasso-like problem, but I want the sparsity on $R$ not $W$). I think the issue is $W=R^{-1}$ is a non-convex constraint.

Could I use an ADMM approach? e.g. minimize

$ \operatorname{tr}[ (Y-XW)^T (Y-XW) ] + \lambda \sum_{ij} |R_{ij}| + \gamma (\operatorname{tr}(RW) - \log \det R - \log \det W)$

This is biconvex in $R$ and $W$, and increasing $\gamma$ will force $W$ closer to $R^{-1}$ (inspired by the graphical lasso).


1 Answer 1


In the end I used ADMM (see Boyd et al.). Minimize

$ \frac12 \operatorname{tr}[ (Y-XW)^T (Y-XW) ] + \lambda ||R||_1$

s.t. $RW = I$. The augmented Lagrangian is

$ L(R,W,\theta)=\frac12\operatorname{tr}[ (Y-XW)^T (Y-XW) ] + \operatorname{tr}( \theta' (RW-I) ) + \frac12\rho \operatorname{tr}[ (RW-I)^T (RW-I) ] + \lambda ||R||_1$

where $\theta$ is an $P \times P$ matrix of Lagrange multipliers. Iterate over optimizing $W$ (easy because $L$ is quadratic in $W$), $R$ (can be converted into a standard lasso regression) and updating

$\theta \leftarrow \theta + \rho(RW-I)$.


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