Table 1 Graphical lasso algorithm.

1. Initialize W = S + λI. Note that the diagonal of W is fixed in what follows.

2. Repeat the following steps until W is converged.

   a. Partition the matrix W such that the target column is last.

   b. Solve the lasso problem using the coordinate descent algorithm.

   c. Update $w_{12}=W_{11}\text{β}.$

3. In the final cycle, calculate

${\theta }_{12}=-\beta {\theta }_{22}$ with ${\theta }_{22}=1/\left(w_{22}-{\text{w}}_{12}^{\text{T}}\beta \right)$.