Algorithms for solving a self-calibrated l1-regularized quadratic programming problem without parameter tuning. The algorithm, called DECODE, can handle high-dimensional data without cross-validation. It is found useful in high dimensional portfolio selection (see Pun (2018) <https://ssrn.com/abstract=3179569>) and large precision matrix estimation and sparse linear discriminant analysis (see Pun and Hadimaja (2019) <https://ssrn.com/abstract=3422590>).
|Author||Chi Seng Pun, Matthew Zakharia Hadimaja|
|Maintainer||Chi Seng Pun <email@example.com>|
|Package repository||View on CRAN|
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