camel

camel: Calibrated Machine Learning. The package ”camel” provides the implementation of a family of high-dimensional calibrated machine learning tools, including (1) LAD, SQRT Lasso and Calibrated Dantzig Selector for estimating sparse linear models; (2) Calibrated Multivariate Regression for estimating sparse multivariate linear models; (3) Tiger, Calibrated Clime for estimating sparse Gaussian graphical models. We adopt the combination of the dual smoothing and monotone fast iterative soft-thresholding algorithm (MFISTA). The computation is memory-optimized using the sparse matrix output, and accelerated by the path following and active set tricks.


References in zbMATH (referenced in 9 articles , 1 standard article )

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  1. Gold, David; Lederer, Johannes; Tao, Jing: Inference for high-dimensional instrumental variables regression (2020)
  2. Wu, Jie; Zheng, Zemin; Li, Yang; Zhang, Yi: Scalable interpretable learning for multi-response error-in-variables regression (2020)
  3. Ren, Zhao; Kang, Yongjian; Fan, Yingying; Lv, Jinchi: Tuning-free heterogeneous inference in massive networks (2019)
  4. Li, Xingguo; Zhao, Tuo; Arora, Raman; Liu, Han; Hong, Mingyi: On faster convergence of cyclic block coordinate descent-type methods for strongly convex minimization (2018)
  5. Zhao, Tuo; Liu, Han; Zhang, Tong: Pathwise coordinate optimization for sparse learning: algorithm and theory (2018)
  6. Liu, Han; Wang, Lie: TIGER: A tuning-insensitive approach for optimally estimating Gaussian graphical models (2017)
  7. Zhang, Haixiang; Zheng, Yinan; Yoon, Grace; Zhang, Zhou; Gao, Tao; Joyce, Brian; Zhang, Wei; Schwartz, Joel; Vokonas, Pantel; Colicino, Elena; Baccarelli, Andrea; Hou, Lifang; Liu, Lei: Regularized estimation in sparse high-dimensional multivariate regression, with application to a DNA methylation study (2017)
  8. Liu, Han; Wang, Lie; Zhao, Tuo: Calibrated multivariate regression with application to neural semantic basis discovery (2015)
  9. Pircalabelu, Eugen; Claeskens, Gerda; Jahfari, Sara; Waldorp, Lourens J.: A focused information criterion for graphical models in fMRI connectivity with high-dimensional data (2015)