MGallow/ADMMsigma: Penalized Precision Matrix Estimation via ADMM

Estimates a penalized precision matrix via the alternating direction method of multipliers (ADMM) algorithm. It currently supports a general elastic-net penalty that allows for both ridge and lasso-type penalties as special cases. This package is an alternative to the 'glasso' package. See Boyd et al (2010) <doi:10.1561/2200000016> for details regarding the estimation method.

Getting started

Package details

Maintainer
LicenseGPL (>= 2)
Version2.1
URL https://github.com/MGallow/ADMMsigma
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("MGallow/ADMMsigma")
MGallow/ADMMsigma documentation built on Aug. 2, 2018, 2:02 p.m.