r-clime
A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.
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Summary
A robust constrained L1 minimization method for estimating a large sparse inverse covariance matrix (aka precision matrix), and recovering its support for building graphical models. The computation uses linear programming.
Last Updated
Jun 27, 2019 at 06:31
License
GPL-2
Supported Platforms
linux-64