The -norm fails to produce sparse solutions in Laplacian constrained graphical models, leading to a complete graph.
problem Learning a sparse graph under Laplacian constrained Gaussian graphical models.
method Introduced a nonconvex sparsity penalty and proposed a new estimator using a sequence of weighted -norm penalized sub-problems. Developed a projected gradient descent algorithm with linear convergence rate.
result The proposed estimator can recover the edges correctly with high probability and is effective on both synthetic and real-world data sets.