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)
Lots and lots of minor bug fixes
Added several (some modified) vignettes for clarity on the underlying algorithm and utility of the package (see the package website)
Reversed the ADMM algorithm sequence -- which improves computation speed
ADMMsigma is a major version release and total re-work of the original package.
Updates include further parallel computing capabilities, automatic selection of tuning parameter grid, and updated graphics. Many options for "ADMMsigma" have been added and/or re-named. Please refer to the manual for more detailed information.