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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.
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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 |
Install the latest version of this package by entering the following in R:
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