Fast Graphical LASSO

A fast and improved implementation of the graphical LASSO.

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

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/