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.

Install the latest version of this package by entering the following in R:
install.packages("QUIC")
AuthorCho-Jui Hsieh [aut], Matyas A. Sustik [aut, cre], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut]
Date of publication2012-05-17 20:20:06
MaintainerMatyas A. Sustik <sustik@cs.utexas.edu>
LicenseGPL-3
Version1.1
http://www.r-project.org, http://www.cs.utexas.edu/users/sustik/QUIC

View on CRAN

Files

MD5
demo
demo/ER.R
demo/00Index
demo/ERpath.R
src
src/QUIC.cpp
src/Makevars
DESCRIPTION
inst
inst/CITATION
man
man/QUIC.Rd man/S.Rd
data
data/ER_692.RData
data/datalist
R
R/QUIC.R
NAMESPACE

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