fastclime {fastclime} | R Documentation |
A fast parametric simplex solver for constrainted l1 minimization approach to sparse precision matrix estimation
fastclime(x, lambda.min = 0.1, nlambda = 50)
x |
There are 2 options: (1) |
lambda.min |
This is the smallest value of lambda you would like the solver to explorer. The default value is |
nlambda |
It is the number of the path length one would like to achieve. The default length is 50. Note if d is large and nlambda is also large, it is possible that the program will fail to allocate memory for the path. |
This program uses parametric simplex linear programming method to solve CLIME (Constrained l1 Minimization Sparse Precision Matrix Estimation) problem. The solution path of the problem corresponds to the parameter in the parametric simplex method.
An object with S3 class "fastclime"
is returned:
data |
The |
cov.input |
An indicator of the sample covariance. |
sigmahat |
The empirical covariance of the data. If cov.inpu is TRUE, sigmahat = data |
maxnlambda |
The length of the path. If the program finds |
lambdamtx |
The sequence of regularization parameters for each column, it is a |
icovlist |
A |
The program will stop when either the maximum number of iteration for each column nlambda
is achieved or when the required lambda.min
is achieved for each column. When the dimension is huge, make sure nlambda
is small so that there are enough memory to allocate the solution path. lambdamtx
and icovlist
will be used in fastclime.selector
.
Haotian Pang, Han Liu and Robert Vanderbei
Maintainer: Haotan Pang<hpang@princeton.edu>
fastclime.generator
, fastclime.plot
, fastclime.selector
and fastclime-package
.
#generate data L = fastclime.generator(n = 100, d = 20) #graph path estimation out1 = fastclime(L$data,0.1) out2 = fastclime.selector(out1$lambdamtx, out1$icovlist,0.2) fastclime.plot(out2$adaj) #graph path estimation using the sample covariance matrix as the input. out1 = fastclime(cor(L$data),0.1) out2 = fastclime.selector(out1$lambdamtx, out1$icovlist,0.2) fastclime.plot(out2$adaj)