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

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.

Install the latest version of this package by entering the following in R:
install.packages("fastclime")
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

View on CRAN

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.