Network inference. Network inference (or structure inference) has become a topical problem in various fields such as biology, ecology, neurosciences, social sciences, to name a few. The aim is to unravel the dependency structure that relates a series of variables that can be jointly observed. Graphical models (see, e.g. Lauritzen, 1996) provide a natural framework to achieve this task as it allows to encode the dependency structure into a graph, the nodes of which are the variables. Two variables are connected if and only if they are dependant, conditionally on all others.Most methodologies build on the assumption that the network is sparse, meaning that only a small fraction of variable pairs are conditionally dependent. The case of Gaussian graphical models (GGM)