glassoFast-package: glassoFast: a Fast Graphical LASSO

Description Details Author(s) References See Also

Description

This package propose a fast implementation of the graphical LASSO of Friedman et al. 2008 based on the algorithm (FORTRAN subroutine) of Sustik and Calderhead (2012). This algorithm also avoid non-termination issues observed for the "glasso" function of the R package glasso.

Details

Package: glassoFast
Type: Package
Version: 1.0.0
Date: 2017-06-07
License: GPL (>=3.0)

The original FORTRAN Subroutine is available from:

http://www.cs.utexas.edu/users/sustik/glassofast/

Author(s)

Julien Clavel

Maintainer: Julien Clavel <julien.clavel@hotmail.fr>

References

Friedman J., Hastie T., Tibshirani R. 2008. Sparse inverse covariance estimation with the graphical lasso. Biostatistics. 9:432-441.

Sustik M.A., Calderhead B. 2012. GLASSOFAST: An efficient GLASSO implementation. UTCS Technical Report TR-12-29:1-3.

See Also

glassoFast


glassoFast documentation built on May 2, 2019, 3:41 p.m.