Learning Graph Structures, Graphical Lasso and Its Applications - Part 0

This series of articles will try provide some intuition behind the important problem of inverse covariance estimation and related solutions such as Graphical Lasso and its variants. Mathematical details such as rigor proofs are sometimes omitted for simplicity, but hopefully enough pointers and background information have been provided so readers may follow the theoretical vines themselves.

The series will be covering the following:

(1) Why bother with estimating inverse covariance matrix;

(2) How to describe pratical problems mathematically;

(3) How to translate mathe formulae into computer algorithms, i.e., Graphical Lasso; Sample code will be in Julia;

(4) How to tweak our algorithm for big data;

(5) How to apply the solution to real-world problems, in finance and beyond;

Your opinion and comments are always welcome.