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We provide implementation for a class of problems that use alternating direction method of multipliers (ADMM)-type algorithms.
You can install the released version of ADMM from CRAN with:
install.packages("ADMM")And the development version from GitHub with:
# install.packages("devtools")
devtools::install_github("kyoustat/ADMM")Currently, we support following classes of problems and functions.
For more details, please see help pages of each function using
help() function in your R session.
| Function | Description |
|---|---|
admm.bp |
Basis Pursuit |
admm.enet |
Elastic Net Regularization |
admm.genlasso |
Generalized LASSO |
admm.lad |
Least Absolute Deviations |
admm.lasso |
Least Absolute Shrinkage and Selection Operator |
admm.rpca |
Robust Principal Component Analysis |
admm.sdp |
Semidefinite Programming |
admm.spca |
Sparse Principal Component Analysis |
admm.tv |
Total Variation Minimization |
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.