% Sparse covariance estimation for Gaussian variables
% Joëlle Skaf - 04/24/08 
% (a figure is generated) 
%
% Suppose y \in\reals^n is a Gaussian random variable with zero mean and 
% covariance matrix R = \Expect(yy^T), with sparse inverse S = R^{-1} 
% (S_ij = 0 means that y_i and y_j are conditionally independent).
% We want to estimate the covariance matrix R based on N independent 
% samples y1,...,yN drawn from the distribution, and using prior knowledge 
% that S is sparse
% A good heuristic for estimating R is to solve the problem 
%           maximize    logdet(S) - tr(SY) 
%           subject to  sum(sum(abs(S))) <= alpha 
%                       S >= 0
% where Y is the sample covariance of y1,...,yN, and alpha is a sparsity
% parameter to be chosen or tuned. 

% Input data 
randn('state',0);
n = 10; 
N = 100; 
Strue = sprandsym(n,0.5,0.01,1);
R = inv(full(Strue));
y_sample = sqrtm(R)*randn(n,N); 
Y = cov(y_sample'); 
alpha = 50;

% Computing sparse estimate of R^{-1} 
cvx_begin sdp
    variable S(n,n) symmetric 
    maximize log_det(S) - trace(S*Y)
    sum(sum(abs(S))) <= alpha
    S >= 0
cvx_end
R_hat = inv(S);

S(find(S<1e-4)) = 0; 
figure; 
subplot(121);
spy(Strue); 
title('Inverse of true covariance matrix') 
subplot(122); 
spy(S)
title('Inverse of estimated covariance matrix')