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.

Package details

AuthorHaotian Pang, Di Qi, Han Liu and Robert Vanderbei
MaintainerHaotian Pang <>
Package repositoryView on CRAN
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fastclime documentation built on May 2, 2019, 1:06 p.m.