gif

From MaRDI portal
Revision as of 18:59, 12 March 2024 by Import240312060351 (talk | contribs) (Created automatically from import240312060351)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Software:137483



CRANgifMaRDI QIDQ137483

Graphical Independence Filtering

Shiyun Lin, Jin Zhu, Xueqin Wang, Junxian Zhu

Last update: 12 January 2024

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.1.0, 0.1.1

Provides a method of recovering the precision matrix for Gaussian graphical models efficiently. Our approach could be divided into three categories. First of all, we use Hard Graphical Thresholding for best subset selection problem of Gaussian graphical model, and the core concept of this method was proposed by Luo et al. (2014) <arXiv:1407.7819>. Secondly, a closed form solution for graphical lasso under acyclic graph structure is implemented in our package (Fattahi and Sojoudi (2019) <https://jmlr.org/papers/v20/17-501.html>). Furthermore, we implement block coordinate descent algorithm to efficiently solve the covariance selection problem (Dempster (1972) <doi:10.2307/2528966>). Our package is computationally efficient and can solve ultra-high-dimensional problems, e.g. p > 10,000, in a few minutes.





This page was built for software: gif