Package: ADMMsigma 2.1

Matt Galloway

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.

Authors:Matt Galloway [aut, cre]

ADMMsigma_2.1.tar.gz
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ADMMsigma.pdf |ADMMsigma.html✨
ADMMsigma/json (API)
NEWS

# Install 'ADMMsigma' in R:
install.packages('ADMMsigma', repos = c('https://mgallow.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/mgallow/admmsigma/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3

On CRAN:

admmcovariance-matrixglassolassoprecision-matrixridge

4.86 score 4 stars 12 scripts 271 downloads 4 exports 38 dependencies

Last updated 6 years agofrom:d8a58aad67. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 07 2024
R-4.5-win-x86_64OKNov 07 2024
R-4.5-linux-x86_64OKNov 07 2024
R-4.4-win-x86_64OKNov 07 2024
R-4.4-mac-x86_64OKNov 07 2024
R-4.4-mac-aarch64OKNov 07 2024
R-4.3-win-x86_64OKNov 07 2024
R-4.3-mac-x86_64OKNov 07 2024
R-4.3-mac-aarch64OKNov 07 2024

Exports:ADMMcADMMsigmaRIDGEcRIDGEsigma

Dependencies:clicodetoolscolorspacedoParalleldplyrfansifarverforeachgenericsggplot2gluegtableisobanditeratorslabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigR6RColorBrewerRcppRcppArmadilloRcppProgressrlangscalestibbletidyselectutf8vctrsviridisLitewithr

ADMMsigma Tutorial

Rendered fromTutorial.Rmdusingknitr::knitron Nov 07 2024.

Last update: 2018-08-02
Started: 2018-06-05

Precision Matrix Estimation via ADMM

Matt Galloway

Rendered fromDetails.Rmdusingknitr::knitron Nov 07 2024.

Last update: 2018-07-31
Started: 2018-06-05

Simulations

Matt Galloway

Rendered fromSimulations.Rmdusingknitr::knitron Nov 07 2024.

Last update: 2018-07-31
Started: 2018-06-05