WIP Add support for GLasso and Adaptive (reweighted) GLasso

[Perceptronium]

Context of the PR

Add Graphical Lasso and Adaptive Graphical Lasso estimators

Contributions of the PR

• A new GraphicalLasso estimator that can:

1. Handle weighted regularization.
2. Use two different algorithms to solve the GLasso problem:
   2.1. The "Banerjee" approach as in Banerjee et al., 2008 (the original GLasso algorithm)
   2.2. The "Mazumder" approach as in Mazumder et al., 2012 (the P-GLasso algorithm)

• A new AdaptiveGraphicalLasso estimator that solves the Reweighted Graphical Lasso problem, where the weights are updated following the procedure of Candès et al., 2008

• Test functions for the two estimators

• An illustrative example of the two estimators that plots their performance (in terms of NMSE and F1 score) as a function of the regularization hyperparameter.

[Perceptronium]

Hello @Badr-MOUFAD ,
Hope everything is going well for you ! Could you take a look at this when you have the time ?
Thanks a lot !

[Badr-MOUFAD]

Definitely! Thnx for the PR 🚀

[mathurinm]

@Badr-MOUFAD no need to review yet, we realized that a barebone gramcd solver works much better than anderson working set here, we're still in the benchmarking phase. We'll ping you when the code is ready! 🙏