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

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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.

Author
Haotian Pang, Di Qi, Han Liu and Robert Vanderbei
Date of publication
2016-04-29 23:59:28
Maintainer
Haotian Pang <hpang@princeton.edu>
License
GPL-2
Version
1.4.1

View on CRAN

Man pages

dantzig
A solver for the Dantzig selector estimator
dantzig.generator
Dantzig data generator
dantzig.selector
Dantzig selector
fastclime
The main solver for fastclime package
fastclime.generator
Data generator
fastclime-package
Fast Parametric Simplex Solver for CLIME and Linear...
fastclime.plot
Graph visualization
fastclime.selector
A precision matrix and path selector function for fastclime
fastlp
A generic LP solver
paralp
A solver for parameterized LP problems
plot.fastclime
Plot function for S3 class "fastclime"
plot.sim
Plot function for S3 class "sim"
print.fastclime
Print function for S3 class "fastclime"
print.sim
Print function for S3 class "sim"
stockdata
Stock price of S&P 500 companies from 2003 to 2008

Files in this package

fastclime
fastclime/inst
fastclime/inst/doc
fastclime/inst/doc/vignette.Rnw
fastclime/inst/doc/vignette.pdf
fastclime/src
fastclime/src/linalg.c
fastclime/src/heap.c
fastclime/src/paralp.c
fastclime/src/heap.h
fastclime/src/lu.c
fastclime/src/tree.h
fastclime/src/macros.h
fastclime/src/parametric.c
fastclime/src/dantzig.c
fastclime/src/fastlp.c
fastclime/src/linalg.h
fastclime/src/myalloc.h
fastclime/src/tree.c
fastclime/src/lu.h
fastclime/NAMESPACE
fastclime/data
fastclime/data/stockdata.rda
fastclime/R
fastclime/R/fastclime.generator.R
fastclime/R/dantzig.R
fastclime/R/fastclime.plot.R
fastclime/R/paralp.R
fastclime/R/fastclime.R
fastclime/R/fastlp.R
fastclime/R/dantzig.selector.R
fastclime/R/dantzig.generator.R
fastclime/R/fastclime.selector.R
fastclime/vignettes
fastclime/vignettes/vignette.Rnw
fastclime/vignettes/fastclime.pdf
fastclime/MD5
fastclime/build
fastclime/build/vignette.rds
fastclime/DESCRIPTION
fastclime/man
fastclime/man/stockdata.Rd
fastclime/man/fastlp.Rd
fastclime/man/print.sim.Rd
fastclime/man/paralp.Rd
fastclime/man/fastclime.Rd
fastclime/man/fastclime.selector.Rd
fastclime/man/fastclime-package.Rd
fastclime/man/fastclime.generator.Rd
fastclime/man/plot.sim.Rd
fastclime/man/plot.fastclime.Rd
fastclime/man/dantzig.selector.Rd
fastclime/man/fastclime.plot.Rd
fastclime/man/dantzig.Rd
fastclime/man/dantzig.generator.Rd
fastclime/man/print.fastclime.Rd