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Use Newton's method and coordinate descent to solve the regularized inverse covariance matrix estimation problem. Please refer to: Sparse Inverse Covariance Matrix Estimation Using Quadratic Approximation, Cho-Jui Hsieh, Matyas A. Sustik, Inderjit S. Dhillon, Pradeep Ravikumar, Advances in Neural Information Processing Systems 24, 2011, p. 2330--2338.
Package details |
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Author | Cho-Jui Hsieh [aut], Matyas A. Sustik [aut], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut] |
Maintainer | ORPHANED |
License | GPL-3 |
Version | 1.1.1 |
Package repository | View on CRAN |
Installation |
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