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ADMMsigma  

Penalized Precision Matrix Estimation via ADMM
View on CRAN: Click here


Download and install ADMMsigma package within the R console
Install from CRAN:
install.packages("ADMMsigma")

Install from Github:
library("remotes")
install_github("cran/ADMMsigma")

Install by package version:
library("remotes")
install_version("ADMMsigma", "2.1")



Attach the package and use:
library("ADMMsigma")
Maintained by
Matt Galloway
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2018-04-03
Latest Update:
Description:
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) for details regarding the estimation method.
How to cite:
Matt Galloway (2018). ADMMsigma: Penalized Precision Matrix Estimation via ADMM. R package version 2.1, https://cran.r-project.org/web/packages/ADMMsigma. Accessed 25 Jun. 2026.
Previous versions and publish date:
1.0 (2018-04-03 20:55), 2.0 (2018-05-31 06:51), 2.1 (2018-08-02 19:10)
Other packages that cited ADMMsigma R package
View ADMMsigma citation profile
Other R packages that ADMMsigma depends, imports, suggests or enhances
Complete documentation for ADMMsigma
Functions, R codes and Examples using the ADMMsigma R package
Some associated functions: ADMMc . ADMMsigma . CVP_ADMM . CVP_ADMMc . CVP_RIDGE . CVP_RIDGEc . CV_ADMMc . CV_RIDGEc . RIDGEc . RIDGEsigma . plot.ADMM . plot.RIDGE . print.ADMM . print.RIDGE . 
Some associated R codes: ADMMsigma.R . Parallel.R . RIDGEsigma.R . RcppExports.R . misc.R .  Full ADMMsigma package functions and examples
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