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

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

Lasso Method for RCON(V, E) Models

Description

RCON(V, E) models (Hojsgaard, et al., 2008) 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.

Details

Package:	sglasso
Type:	Package
Version:	1.2.5
Date:	2022-09-21
License:	GPL (>=2)

Author(s)

Luigi Augugliaro

Maintainer:
Luigi Augugliaro <[e-mail]>

References

Abbruzzo, A., Augugliaro, L., Mineo, A. M. and Wit, E. C. (2014) Cyclic coordinate for penalized Gaussian Graphical Models with symmetry restrictions. In Proceeding of COMPSTAT 2014 - 21th International Conference on Computational Statistics, Geneva, August 19-24, 2014.

Hojsgaard, S. and Lauritzen, S. L. (2008) Graphical gaussian models with edge and vertex symmetries. J. Roy. Statist. Soc. Ser. B., Vol. 70(5), 1005–1027.

sglasso documentation built on Sept. 22, 2022, 5:06 p.m.