This package propose a fast implementation of the graphical LASSO of Friedman et al. 2008 based on the algorithm (FORTRAN subroutine) of Sustik and Calderhead (2012). This algorithm also avoid non-termination issues observed for the "glasso" function of the R package glasso.
Julien Clavel
Maintainer: Julien Clavel <julien.clavel@hotmail.fr>
| Package: | glassoFast |
| Type: | Package |
| Version: | 1.0.1 |
| Date: | 2017-06-07 |
| License: | GPL (>=3.0) |
The original FORTRAN Subroutine was taken from (now broken link):
http://www.cs.utexas.edu/users/sustik/glassofast/
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.
glassoFast