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: 1.0
Depends: Rcpp (≥ 0.12.10), doParallel
Imports: stats, parallel, foreach, ggplot2
LinkingTo: Rcpp, RcppArmadillo
Suggests: testthat
Published: 2018-04-03
Author: Matt Galloway [aut, cre]
Maintainer: Matt Galloway <gall0441 at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
SystemRequirements: GNU make
CRAN checks: ADMMsigma results


Reference manual: ADMMsigma.pdf
Package source: ADMMsigma_1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: ADMMsigma_1.0.tgz, r-oldrel: ADMMsigma_1.0.tgz


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