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ADMMsigma (version 2.1)

Penalized Precision Matrix Estimation via ADMM

Description

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) for details regarding the estimation method.

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Install

install.packages('ADMMsigma')

Monthly Downloads

112

Version

2.1

License

GPL (>= 2)

Issues

0

Pull Requests

0

Stars

4

Forks

2

Maintainer

Matt Galloway

Last Published

August 2nd, 2018

Functions in ADMMsigma (2.1)

ADMMsigma

Penalized precision matrix estimation via ADMM
print.ADMM

Print ADMM object
print.RIDGE

Print RIDGE object
plot.ADMM

Plot ADMM object
plot.RIDGE

Plot RIDGE object
ADMMc

Penalized precision matrix estimation via ADMM (c++)
CVP_ADMM

Parallel CV (uses CV_ADMMc)
CVP_RIDGE

Parallel Ridge CV (uses CVP_RIDGEc)
RIDGEsigma

Ridge penalized precision matrix estimation
RIDGEc

Ridge-penalized precision matrix estimation (c++)
CVP_ADMMc

CV (no folds) ADMM penalized precision matrix estimation (c++)
CVP_RIDGEc

CV (no folds) RIDGE penalized precision matrix estimation (c++)
CV_ADMMc

CV ADMM penalized precision matrix estimation (c++)
CV_RIDGEc

CV ridge penalized precision matrix estimation (c++)