fastclime

A Fast Solver for Parameterized LP Problems, Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation and Dantzig Selector

Provides a method of recovering the precision matrix efficiently and solving for the dantzig selector by applying the parametric simplex method. The computation is based on a linear optimization solver. It also contains a generic LP solver and a parameterized LP solver using parametric simplex method.

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Description file content

Package
fastclime
Type
Package
Title
A Fast Solver for Parameterized LP Problems, Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation and Dantzig Selector
Version
1.4.1
Date
2016-04-22
Author
Haotian Pang, Di Qi, Han Liu and Robert Vanderbei
Maintainer
Haotian Pang
Depends
R (>= 2.15.0), lattice, igraph, MASS, Matrix
Description
Provides a method of recovering the precision matrix efficiently and solving for the dantzig selector by applying the parametric simplex method. The computation is based on a linear optimization solver. It also contains a generic LP solver and a parameterized LP solver using parametric simplex method.
License
GPL-2
Repository
CRAN
Packaged
2016-04-22 22:28:08 UTC; diqi
NeedsCompilation
yes
Date/Publication
2016-04-29 23:59:28

install.packages('fastclime')

1.4.1

02 years ago

Haotian Pang

GPL-2

Depends on

R (>= 2.15.0), lattice, igraph, MASS, Matrix

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