Package dpglasso solves the primal formulation of the Graphical Lasso
This package solves the primal formulation of the Graphical Lasso problem, by solving the duals (box QPs) of the block problems.
The outer block-wise optimization routine is written in
R with the inner QP solver written in
Fortran with a
R wrapper around it.
There are two functions
dpglasso solves the primal formulation of the Graphical Lasso.
box_qp_f solves a box constrained Quadratic program via cyclical coordinate descent.
Rahul Mazumder and Trevor Hastie
Maintainer: Rahul Mazumder <email@example.com>
The Graphical Lasso: New Insights and Alternatives by Rahul Mazumder and Trevor Hastie, 2011, available at http://arxiv.org/abs/1111.5479
Sparse inverse covariance estimation with the lasso, by J. Friedman , T. Hastie and R. Tibshirani; 2007, Biostatistics.
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