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>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
SystemRequirements: GNU make
Materials: NEWS
CRAN checks: ADMMsigma results


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


Package source: ADMMsigma_2.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
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


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