Graphical Rank Lasso - code

This repo contains code to reproduce all numerical results from our paper A Completely Tuning-Free and Robust Approach to Sparse Precision Matrix Estimation.

R files

1. rank-lasso-source-cpp.R: Source file to fit linear regression model using Rank Lasso. This file requires C++ source files from folder src/

2. rank-lasso-graph-source.R: Source file to generate graphs and fit model.

3. rank-lasso-graph-reproduce.R: Code to run simulation studies.

4. rank-lasso-graph-realdata.R: Code to run real data example.

Simulation

To reproduce simulation results, type in terminal console while inside graphical-rank-lasso folder

sh bash/reproduce.sh

Gurobi

To speed up LP computation, we used R package for gurobi optimization.

Free academic lisence is available here: https://www.gurobi.com/academia/academic-program-and-licenses/

Instruction for installing gurobi in R: https://www.gurobi.com/documentation/9.5/quickstart_windows/r_ins_the_r_package.html