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.
|Author||Cho-Jui Hsieh [aut], Matyas A. Sustik [aut], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut]|
|Package repository||View on CRAN|
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