Released Code of the Block-Coordinate Descent for Inverse Covariance

I released the code for the paper “A Block-Coordinate Descent Approach for Large-scale Sparse Inverse Covariance Estimation” that was presented in NIPS 2014. The algorithm includes a flag that enables the multilevel acceleration. This flag is very useful for large-scale problems on the thousands-millions of variables. The code runs in Matlab and includes some functions in C that require compilation. Also, it calls functions from METIS 5.0.2 to partitioning the neighbors in every sweep. The released version was tested on Windows, although it should work on other platforms as well.

You are welcome to try it and contact me with any comment you may have. I would like to know if somebody managed to run it in linux or mac.