A Fast Solver for Parameterized LP Problems, Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation and Dantzig Selector

Provides a method of recovering the precision matrix efficiently and solving for the dantzig selector by applying the parametric simplex method. The computation is based on a linear optimization solver. It also contains a generic LP solver and a parameterized LP solver using parametric simplex method.


Reference manual

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1.4.1 by Haotian Pang, 5 years ago

Browse source code at https://github.com/cran/fastclime

Authors: Haotian Pang , Di Qi , Han Liu and Robert Vanderbei

Documentation:   PDF Manual  

GPL-2 license

Depends on lattice, igraph, MASS, Matrix

Imported by HDtest, SHT.

Depended on by highD2pop.

See at CRAN