Welcome to GGLasso’s documentation!
GGLasso (stands for General Graphical Lasso) is a Python package for estimating sparse (or sparse plus low rank) inverse covariance matrices. Moreover, it contains solvers and model selection procedures for Multiple Graphical Lasso problems such as Group and Fused Graphical Lasso.
The package is available on Github .
- Getting started
- Examples Gallery
- Mathematical description
- Using the problem object
- Detailled solver documentation