A package for generic linear programming, parameterized linear programming and constrainted l1 minimization approach to sparse precision matrix estimation
Haotian Pang, Di Qi, Han Liu and Robert Vanderbei
Maintainer: Haotian Pang<hpang@princeton.edu>;
| Package: | fastclime |
| Type: | Package |
| Version: | 1.2.4 |
| Date: | 2014-04-25 |
| License: | GPL-2 |
| LazyLoad: | yes |
The package "fastclime" provides 5 main functions:
(1) the data generator creates random samples from multivariate normal distributions with different graph structures. Please refer to fastclime.generator.
(2) The parametric simplex solver for constrainted l1 minimization approach to sparse precision matrix estimation. Please refer to fastclime.
(3) The path selector function gives the path and precision matrix for a given parameter in CLIME. Please refer to fastclime.selector.
(4) A generic linear programming solver and a parameterized linear programming solver. Please refer to fastlp and paralp.
(5) An implementation of the Primal Dual (i.e. Self Dual) Simplex Method on the Dantzig selector. Please refer to dantzig, dantzig.selector and dantzig.generator.
fastclime.generator, fastclime, fastclime.plot, fastclime.selector, fastlp, paralp, dantzig, dantzig.selector, and dantzig.generator