QUIC software

The program

The QUadratic Inverse Covariance algorithm (latest release 1.1) implements the l₁ regularized Gaussian maximum likelihood estimation of the inverse of a covariance matrix.

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We implemented the algorithm in C++ and we provide a MEX package and an R package released under the GNU General Public License version 3 or later (GPLv3).

Download the MEX package archive and extract the files. Compile the program using the provided Makefile or use the MEX compiler as follows:

> mex -llapack QUIC.C QUIC-mex.C -output QUIC.[mex|mexa64|mexmaci64|...]

The R package is available from CRAN. You can also download it from here. Install from within R by issuing:

> install.packages("QUIC_...tar.gz")
> library(QUIC)

Please acknowledge the use of the code with a citation. BibTex records are available for your convenience.

Sparse Inverse Covariance Matrix Estimation Using Quadratic Approximation, Cho-Jui Hsieh, Mátyás A. Sustik, Inderjit S. Dhillon, Pradeep Ravikumar, Advances in Neural Information Processing Systems, vol. 24, 2011. Download: [pdf] Slides from the SAMSI 2012 workshop: [pdf]

Bug reports and comments are always appreciated. We would like to know who showed interest in our work, feel free to contact us.

Updated on Sep 26, 2012 by Mátyás. Accessed 2140 times.