fastclime: A Fast Solver for Parameterized LP Problems, Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation and Dantzig Selector
Version 1.4.1

Provides a method of recovering the precision matrix efficiently and solving for the dantzig selector by applying the parametric simplex method. The computation is based on a linear optimization solver. It also contains a generic LP solver and a parameterized LP solver using parametric simplex method.

Package details

AuthorHaotian Pang, Di Qi, Han Liu and Robert Vanderbei
Date of publication2016-04-29 23:59:28
MaintainerHaotian Pang <hpang@princeton.edu>
LicenseGPL-2
Version1.4.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("fastclime")

Try the fastclime package in your browser

Any scripts or data that you put into this service are public.

fastclime documentation built on May 30, 2017, 4:13 a.m.