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 protected]>
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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