glassoFast
glassoFast: a Fast Graphical LASSO
This package propose a fast implementation of the graphical LASSO of Friedman et al. 2008 based on the algorithm (and FORTRAN subroutine) of Sustik and Calderhead (2012). This algorithm also avoid non-termination issues observed for the "glasso" function of the R package glasso.
glassoFast 1.0.1
- This is the version 1.0.1:
Package Installation
You can install it directly from gitHub through devtools:
library(devtools)
install_github("JClavel/glassoFast")
(Note that you may also need to install Rtools to compile the C and FORTRAN codes included in the package. For [Windows] (https://cran.r-project.org/bin/windows/Rtools/) and for [Mac] (http://r.research.att.com) (and [Tools] (https://r.research.att.com/tools/). See also "gcc" and "gfortran" websites)
Report an issue
Any bugs encountered when using the package can be reported here
References
Friedman J., Hastie T., Tibshirani R. 2008. Sparse inverse covariance estimation with the graphical lasso. Biostatistics. 9:432-441.
Sustik M.A., Calderhead B. 2012. GLASSOFAST: An efficient GLASSO implementation. UTCS Technical Report TR-12-29:1-3.
Notes
The original source code was taken from the now broken link: http://www.cs.utexas.edu/users/sustik/glassofast/