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, cre], Inderjit S. Dhillon [aut], Pradeep Ravikumar [aut]|
|Maintainer||Matyas A. Sustik <[email protected]>|
|Package repository||View on CRAN|
Install the latest version of this package by entering the following in R:
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.