QUIC: Regularized Sparse Inverse Covariance Matrix Estimation

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.

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AuthorCho-Jui Hsieh [aut], Matyas A. Sustik [aut], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut]
Package repositoryView on CRAN
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QUIC documentation built on July 20, 2020, 5:07 p.m.