flare (0.9.7)

Family of Lasso Regression.

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

The package "flare" provides the implementation of a family of Lasso variants including Dantzig Selector, LAD Lasso, SQRT Lasso, Lq Lasso for estimating high dimensional sparse linear model. We adopt the alternating direction method of multipliers and convert the original optimization problem into a sequential L1 penalized least square minimization problem, which can be efficiently solved by combining the linearization and the efficient coordinate descent algorithm. The computation is memory-optimized using the sparse matrix output. Besides the sparse linear model estimation, we also provide the extension of these Lasso variants to sparse Gaussian graphical model estimation including TIGER and CLIME using either L1 or adaptive penalty.

Maintainer: Xingguo LI
Author(s): Xingguo Li, Tuo Zhao, Lie Wang, Xiaoming Yuan and Han Liu

License: GPL-2

Uses: igraph, lattice, MASS, Matrix
Reverse depends: DNetFinder, QRFCCA, qut, SparseTSCGM
Reverse suggests: CompareCausalNetworks, hdme, knockoff, MFKnockoffs, mlr

Released about 7 years ago.