sglasso: Lasso Method for RCON(V,E) Models

RCON(V, E) models are a kind of restriction of the Gaussian Graphical Models defined by a set of equality constraints on the entries of the concentration matrix. 'sglasso' package implements the structured graphical lasso (sglasso) estimator proposed in Abbruzzo et al. (2014) for the weighted l1-penalized RCON(V, E) model. Two cyclic coordinate algorithms are implemented to compute the sglasso estimator, i.e. a cyclic coordinate minimization (CCM) and a cyclic coordinate descent (CCD) algorithm.

Package details

AuthorLuigi Augugliaro
MaintainerLuigi Augugliaro <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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sglasso documentation built on Dec. 5, 2019, 5:09 p.m.