Penalized Precision Matrix Estimation via ADMM
Penalized precision matrix estimation via ADMM (c++)
Penalized precision matrix estimation via ADMM
CV ADMM penalized precision matrix estimation (c++)
CV ridge penalized precision matrix estimation (c++)
Parallel CV (uses CV_ADMMc)
CV (no folds) ADMM penalized precision matrix estimation (c++)
Parallel Ridge CV (uses CVP_RIDGEc)
CV (no folds) RIDGE penalized precision matrix estimation (c++)
Plot ADMM object
Plot RIDGE object
Print ADMM object
Print RIDGE object
Ridge-penalized precision matrix estimation (c++)
Ridge penalized precision matrix estimation
Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package. See Boyd et al (2010) <doi:10.1561/2200000016> for details regarding the estimation method.