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ADMM

Algorithms using Alternating Direction Method of Multipliers

Provides algorithms to solve popular optimization problems in statistics such as regression or denoising based on Alternating Direction Method of Multipliers (ADMM). See Boyd et al (2010) <doi:10.1561/2200000016> for complete introduction to the method.

Functions (10)

ADMM

ADMM : Algorithms using Alternating Direction Method of Multipliers

admm.bp

Basis Pursuit

admm.enet

Elastic Net Regularization

admm.genlasso

Generalized LASSO

admm.lad

Least Absolute Deviations

admm.lasso

Least Absolute Shrinkage and Selection Operator

admm.rpca

Robust Principal Component Analysis

admm.sdp

Semidefinite Programming

admm.spca

Sparse PCA

admm.tv

Total Variation Minimization

ADMM

Algorithms using Alternating Direction Method of Multipliers

v0.3.2
GPL (>= 3)
Authors
Kisung You [aut, cre] (<https://orcid.org/0000-0002-8584-459X>), Xiaozhi Zhu [aut]
Initial release

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