  We consider the problem of Graphical lasso with an additional $\ell_{\infty}$
element-wise norm constraint on the precision matrix. This problem has
applications in high-dimensional covariance decomposition such as in
\citep{Janzamin-12}. We propose an ADMM algorithm to solve this problem. We
also use a continuation strategy on the penalty parameter to have a fast
implemenation of the algorithm.
