Variable Clustering via Distributionally Robust Nodewise Regression

ArXi:2212.07944v3 Announce Type: replace We study a multi-factor block model for variable clustering and connect it to regularized subspace clustering through a distributionally robust version of nodewise regression. To solve the latter problem, we derive a convex relaxation, provide a data-driven approach for selecting the size of the robust region, and develop an ADMM algorithm for efficient implementation. We validate our method in extensive numerical studies and nstrate its superior performance.