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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, ChoJui Hsieh, Matyas A. Sustik, Inderjit S. Dhillon, Pradeep Ravikumar, Advances in Neural Information Processing Systems 24, 2011, p. 23302338.
Package details 


Author  ChoJui Hsieh [aut], Matyas A. Sustik [aut, cre], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut] 
Maintainer  Matyas A. Sustik <sustik@cs.utexas.edu> 
License  GPL3 
Version  1.1 
URL  http://www.rproject.org http://www.cs.utexas.edu/users/sustik/QUIC 
Package repository  View on CRAN 
Installation 
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