ADMMsigma: Penalized Precision Matrix Estimation via ADMM

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) <doi:10.1561/2200000016> for details regarding the estimation method.

Version:	2.1
Depends:	Rcpp (≥ 0.12.10), RcppProgress (≥ 0.1), doParallel
Imports:	stats, parallel, foreach, ggplot2, dplyr
LinkingTo:	Rcpp, RcppArmadillo, RcppProgress
Suggests:	testthat, knitr, rmarkdown, microbenchmark, pkgdown
Published:	2018-08-02
DOI:	10.32614/CRAN.package.ADMMsigma
Author:	Matt Galloway [aut, cre]
Maintainer:	Matt Galloway <gall0441 at umn.edu>
BugReports:	https://github.com/MGallow/ADMMsigma/issues
License:	GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL:	https://github.com/MGallow/ADMMsigma
NeedsCompilation:	yes
SystemRequirements:	GNU make
Materials:	NEWS
CRAN checks:	ADMMsigma results

Documentation:

Reference manual:	ADMMsigma.pdf
Vignettes:	Precision Matrix Estimation via ADMM Simulations ADMMsigma Tutorial

Downloads:

Package source:	ADMMsigma_2.1.tar.gz
Windows binaries:	r-devel: ADMMsigma_2.1.zip, r-release: ADMMsigma_2.1.zip, r-oldrel: ADMMsigma_2.1.zip
macOS binaries:	r-release (arm64): ADMMsigma_2.1.tgz, r-oldrel (arm64): ADMMsigma_2.1.tgz, r-release (x86_64): ADMMsigma_2.1.tgz, r-oldrel (x86_64): ADMMsigma_2.1.tgz
Old sources:	ADMMsigma archive

Linking:

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