fastclime (1.1)

A fast solver for constrained l1 minimization approach to sparse precision matrix estimation.

http://cran.r-project.org/web/packages/fastclime

The package "fastclime" provides a method of recover the precision matrix efficiently by applying parametric simplex method. The computation is based on a linear optimization solver. It also contains a generic LP solver using parametric simplex method.

Maintainer: Haotian Pang
Author(s): Haotian Pang, Han Liu and Robert Vanderbei

License: GPL-2

Uses: igraph, lattice, MASS, Matrix
Reverse depends: highD2pop

Released almost 6 years ago.