The package "camel" provides the implementation of a family of highdimensional calibrated machine learning tools, including (1) LAD, SQRT Lasso and Calibrated Dantzig Selector for estimating sparse linear models; (2) Calibrated Multivariate Regression for estimating sparse multivariate linear models; (3) Tiger, Calibrated Clime for estimating sparse Gaussian graphical models. We adopt the combination of the dual smoothing and monotone fast iterative softthresholding algorithm (MFISTA). The computation is memoryoptimized using the sparse matrix output, and accelerated by the path following and active set tricks.
Package details 


Author  Xingguo Li, Tuo Zhao, and Han Liu 
Maintainer  Xingguo Li <xingguo.leo@gmail.com> 
License  GPL2 
Version  0.2.0 
Package repository  View on CRAN 
Installation 
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