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 <[email protected]>|
|Package repository||View on CRAN|
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