The fastclime Package for Linear Programming and Large-Scale Precision Matrix Estimation in R.
Haotian Pang, Han Liu, Robert J. Vanderbei · PubMed · 2014
Minimization Estimator). Compared with existing packages for this problem such as clime and flare, our package has three advantages: (1) it efficiently calculates the full piecewise-linear regularization path; (2) it provides an accurate dual certificate as stopping criterion; (3) it is completely coded in C and is highly portable. This package is designed to be useful to statisticians and machine learning researchers for solving a wide range of problems.