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.

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

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

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