Set control parameters of the coordinate descent algorithm for the graphical lasso for sparse covariance matrix estimation.
control(iter.out = 1e04, iter.in = 1e03, tol.out = 1e-04, tol.in = 1e-03)Maximum number of iterations in the in the outer loop of the coordinate descent algorithm.
Maximum number of iterations in the in the inner loop of the coordinate descent algorithm.
Tolerance value for judging when convergence has been reached. Used in the outer loop of the coordinate descent algorithm.
Tolerance value for judging when convergence has been reached. Used in the inner loop of the coordinate descent algorithm.
A list of parameters values.
Function control is used to set control parameters of the coordinate descent algorithm employed for solving the covariance graphical lasso.
Wang, H. (2014). Coordinate descent algorithm for covariance graphical lasso. Statistics and Computing, 24:521.