Description Details Author(s) References See Also

The package "camel" provides the implementation of a family of high-dimensional 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 soft-thresholding algorithm (MFISTA). The computation is memory-optimized using the sparse matrix output, and accelerated by the path following and active set tricks.

Package: | camel |

Type: | Package |

Version: | 0.2.0 |

Date: | 2013-09-09 |

License: | GPL-2 |

Xingguo Li, Tuo Zhao, and Han Liu

Maintainer: Xingguo Li <xingguo.leo@gmail.com>

1. A. Belloni, V. Chernozhukov, and L. Wang. Pivotal recovery of sparse signals via conic programming. *Biometrika*, 2012.

2. L. Wang. L1 penalized LAD estimator for high dimensional linear regression. *Journal of Multivariate Analysis*, 2013.

3. E. Candes and T. Tao. The Dantzig selector: Statistical estimation when p is much larger than n. *Annals of Statistics*, 2007.

4. T. Cai, W. Liu, and X. Luo. A constrained *\ell_1* minimization approach to sparse precision matrix estimation. *Journal of the American Statistical Association*, 2011.

5. H. Liu and L. Wang. TIGER: A tuning-insensitive approach for optimally estimating large undirected graphs. *Technical Report*, 2012.

6. L. Han, L. Wang, and T. Zhao. Multivariate Regression with Calibration. *http://arxiv.org/abs/1305.2238*, 2013.

7. T. Zhao and H. Liu, Sparse Precision Matrix Estimation with Calibration. *Advances in Neural Information Processing systems*, 2013.

8. A. Beck and M. Teboulle. Fast gradient-based algorithms for constrained total variation image denoising and deblurring problems. *IEEE Transactions on Image Processing*, 2009.

9. Y. Nesterov. Smooth minimization of non-smooth functions. *Mathematical Programming*, 2005.

`camel.tiger`

, `camel.slim`

and `camel.cmr`

.

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