DROP: Distributionally Robust Optimization for Multi-task Learning in Graphical Models
DROP:图模型多任务学习中的分布鲁棒优化
Gaussian Graphical Models (GGMs) are widely used to infer conditional dependence structures in high-dimensional data. However, standard precision matrix estimators are highly sensitive to data contamination, such as extreme outliers and heavy-tailed noise. In this paper, we propose DROP (Distributionally Robust Optimization), a robust estimation method formulated within a multi-task nodewise regression framework. The proposed estimator enforces structural sparsity while…