Estimate sparse inverse correlation matrix using regularization
Description
Use Newton's method and coordinate descent to solve the
regularized inverse correlation matrix estimation problem.
Please refer to: Sparse Inverse Covariance Matrix Estimation
Using Quadratic Approximation, Cho-Jui Hsieh, Matyas A. Sustik,
Inderjit S. Dhillon, Pradeep Ravikumar, Advances in Neural
Information Processing Systems 24, 2011, p. 2330--2338.