Current Highlight

HUGE: High Dimensional Undirected Graphical Model Estimation

Maintainers: Tuo Zhao and Han Liu.

image

Software Description: The package "huge" provides a general framework for high-dimensional undirected graph estimation. It integrates data preprocessing, neighborhood screening, graph estimation, and model selection techniques into a pipeline.

» Learn more

Highlights

Estimating nonparanormal graphical models.

Important Features

  • 1 Instead of using Fortan, it is written in C.
  • 2 Fitting high dimensional Gausian copula models.
  • 3 Graph generation, data generation and visualization.
  • 4 Support lossless and lossy screening rules.
  • 5 Subsampling and Permutation based model selection.
  • 6 Sparse matrix representation for scalability.
  • fastclime: Parametric Simplex Algorithm for Relaxed LP Problems

    Maintainers: Haotian Pang and Han Liu.

    image

    Software Description: The package "fastclime" provides a method of recover the precision matrix efficiently by applying parametric simplex method. The computation is based on linear optimization. It also contains a generic LP solver and a parameterized LP solver using parametric simplex method.

    » Learn more

    Highlights

    Efficient implementation of parametric simplex algorithm.

    Important Features

  • 1 Completely written in C with a R wrapper.
  • 2 Pathwise estimation of sparse precision matrix.
  • 3 Generic parametric simplex solver for relaxed LP.
  • 4 Exact dual certificate as stopping criterion.
  • 5 Efficient pathwise optimization.
  • 6 Implements the CLIME algorithm for graph estimation.

  • SMART

    Sparse Multivariate Analysis via Rank Transformation.

    image

    » Download

    Bigmatrix

    Tuning Insensitive Graph Estimation and Regression.

    image

    » Download

    SAM

    Sparse Additive Machine.

    image

    » Download

    BigTSP

    Top Scoring Pair based methods for classification.

    image

    » Download

    Software to come

    Function 2.

    image

    » Download

    Software to come

    Function 3.

    image

    » Download

    Reading Group

    We have biweekly reading group. The topics of this semeser include optimization in infinite dimensional space, homotopy algorithm, stochastic convex optimization, random matrix theory, and CUDA for GPU programming.

    Get In Touch

    Department of Operations Research and Financial Engineering
    Sherred Hall 224
    Princeton University, NJ 08544
    Phone: +609 258 1788
    Email: hanliu@princeton.edu