CVglasso - Lasso Penalized Precision Matrix Estimation
Estimates a lasso penalized precision matrix via the blockwise coordinate descent (BCD). This package is a simple wrapper around the popular 'glasso' package and extends and enhances its capabilities. These enhancements include built-in cross validation and visualizations. See Friedman et al (2008) <doi:10.1093/biostatistics/kxm045> for details regarding the estimation method.
Last updated 7 years ago
covariance-matrixglassolassoprecision-matrix
4.97 score 1 dependents 31 scripts 208 downloadsADMMsigma - 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.
Last updated 7 years ago
admmcovariance-matrixglassolassoprecision-matrixridgeopenblascpp
4.86 score 4 stars 12 scripts 231 downloads