I am trying to apply `glasso`

on a very simple as well as sparse dataset made by 60+ features and 30k+ observations. Here you can find it in a csv format, if you are interested in reproducing the issue.

I am using the sklearn implementation with very few lines of code, by trying different values for the regularization coefficient $alpha$:

`for alpha in [0.00000001, 0.0000001, 0.000001, 0.00001, 0.0001]: glasso_model = GraphLasso(alpha=alpha, mode='lars', max_iter=2000) glasso_model.fit(scaled_train) `

What I am experiencing is that the model cannot fit a covariance estimate since it stops after raising an exception complaining about the non PSD nature of the problem:

`/usr/local/lib/python3.4/dist-packages/sklearn/covariance/graph_lasso_.py in graph_lasso(emp_cov, alpha, cov_init, mode, tol, max_iter, verbose, return_costs, eps, return_n_iter) 245 e.args = (e.args[0] 246 + '. The system is too ill-conditioned for this solver',) --> 247 raise e 248 249 if return_costs: /usr/local/lib/python3.4/dist-packages/sklearn/covariance/graph_lasso_.py in graph_lasso(emp_cov, alpha, cov_init, mode, tol, max_iter, verbose, return_costs, eps, return_n_iter) 236 break 237 if not np.isfinite(cost) and i > 0: --> 238 raise FloatingPointError('Non SPD result: the system is ' 239 'too ill-conditioned for this solver') 240 else: FloatingPointError: Non SPD result: the system is too ill-conditioned for this solver. The system is too ill-conditioned for this solver `

If I try to do an mle of the covariance with another function by sklearn (which is btw the same function that the `graph_lasso`

procedure uses), this matrix is indeed PSD. So, I suspect that the problem lies somewhere in the computation of the code.

Now I am normalizing or standardazing the data (zero mean, 1.0 var) the data before applying the method but the problem still persist.

Any idea about it? Am I missing some keypoint in applying the glasso. Is it possible to do something meaningful with another toolkit?

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#### Best Answer

I ran into the same issue with some data I was using in my research- while I don't quite understand what leads to this mathematically/computationally, hopefully my answer and the code below helps:

Two comments on your problem:

The raw CSV file includes data fields which have not been de-meaned or scaled. Normalizing the data is a helpful step that is important for some types of processing. This can be accomplished with the sklearn StandardScaler() class.

The l1-regularized covariance implementation seems to be sensitive to instabilities when the empirical covariance matrix has a broad eigenvalue range. Your initial data has eigenvalues in the range of [0, 3e6].

After normalizing your input data, the eigenvalues of your empirical covariance matrix still span a relatively large range of about [0-8]. Shrinking this using the sklearn.covariance.shrunk_covariance() function can bring it into a more computationally acceptable range (from what I've read, [0,1] is ideal but slgihtly larger ranges also appear to work).

If anyone knows what's going on mathematically/computationally that causes this error, and what the caveats of shrinking the covariance matrix are in terms of the interpretation of the output, I'd love to hear your comments and improvements. However, the code below appears to both work for the problem presented by @rano, and the errors that I've run into with my research (~10k samples of data in the energy market).

`import numpy as np import pandas as pd from sklearn import covariance, preprocessing myData = pd.read_csv('Data/weight_comp_simple_prop.df.train.csv') X = myData.values.astype('float64') myScaler = preprocessing.StandardScaler() X = myScaler.fit_transform(X) emp_cov = covariance.empirical_covariance(X) shrunk_cov = covariance.shrunk_covariance(emp_cov, shrinkage=0.8) # Set shrinkage closer to 1 for poorly-conditioned data alphaRange = 10.0 ** np.arange(-8,0) # 1e-7 to 1e-1 by order of magnitude for alpha in alphaRange: try: graphCov = covariance.graph_lasso(shrunk_cov, alpha) print("Calculated graph-lasso covariance matrix for alpha=%s"%alpha) except FloatingPointError: print("Failed at alpha=%s"%alpha) `

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