Tony Cai, Weidong Liu, Xi Luo, A Constrained ℓ₁ Minimization Approach to Sparse Precision Matrix Estimation, Journal of the American Statistical Association, Vol. 106, No. 494 (June 2011), pp. 594-607 ...

Given a covariance matrix, we consider the problem of maximizing the variance explained by a particular linear combination of the input variables while constraining the number of nonzero coefficients ...