Table 1. Graphical Lasso algorithm.

Graphical Lasso algorithm
1.Start with (diagonal is fixed from now)
2.Split matrix as in (6) taking in turn each variable to be the last column
2.1 For each split solve equation (12) for using the lasso coordinate descent algorithm
2.2 Update
2.3 In the final cycle, calculate for each split
with
3.Repeat until convergence