Project details for fastclime

Screenshot JMLR fastclime 1.2.3

by colin1898 - March 10, 2014, 08:54:41 CET [ Project Homepage BibTeX BibTeX for corresponding Paper Download ]

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We develop an R package fastclime for solving a family of regularized linear programming (LP) problems. Our package efficiently implements the parametric simplex algorithm, which provides a scalable and sophisticated tool for solving large-scale linear programs. As an illustrative example, one use of our LP solver is to implement an important sparse precision matrix estimation method called CLIME (Constrained L1 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.

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BibTeX Entry: Download
Corresponding Paper BibTeX Entry: Download
Supported Operating Systems: Linux, Windows, Mac
Data Formats: R
Tags: Machine Learning, Linear Programming, Graphical Model
Archive: download here


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