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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.
Package details |
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Author | Haotian Pang, Di Qi, Han Liu and Robert Vanderbei |
Maintainer | Haotian Pang <hpang@princeton.edu> |
License | GPL-2 |
Version | 1.4.1 |
Package repository | View on CRAN |
Installation |
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