Description Usage Arguments Details
Method for estimating sparse inverse covariance matrix
1 2 | gslope_admm(C, Z, U, lambda_seq, rho, max_iter = 100, tol_infeas = 0.001,
verbose = FALSE)
|
C |
sample covariance matrix |
Z |
initial estimate of inverse covariance |
U |
initial estimate of covariance |
lambda_seq |
sequence of lambda values of ordered L1 norm |
rho |
constant |
max_iter |
maximum number of ADMM iterations |
tol_infeas |
tolerance to feasibility rules |
verbose |
should additional info be printed out |
Implementation using alternating direction method of multipliers
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