Constrained L1-minimization for Inverse (covariance) Matrix Estimation

A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


0.4.1 by Xi (Rossi) Luo, 10 years ago

Browse source code at

Authors: T. Tony Cai , Weidong Liu and Xi (Rossi) Luo

Documentation:   PDF Manual  

GPL-2 license

Depends on lpSolve

Suggests lorec, scio

Imported by HDTSA, HDtest.

Depended on by DensParcorr, growthrate.

Suggested by lorec.

See at CRAN