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| Original file line number | Diff line number | Diff line change |
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| @@ -1,19 +1,18 @@ | ||
| Package: fastclime | ||
| Type: Package | ||
| Title: A fast solver for constrained l1 minimization approach to sparse | ||
| precision matrix estimation | ||
| Version: 1.1 | ||
| Date: 2013-06-18 | ||
| Title: A fast solver for parameterized lp problems and constrained l1 | ||
| minimization approach to sparse precision matrix estimation | ||
| Version: 1.2 | ||
| Date: 2013-07-11 | ||
| Author: Haotian Pang, Han Liu and Robert Vanderbei | ||
| Maintainer: Haotian Pang <hpang@princeton.edu> | ||
| Depends: R (>= 2.15.0), lattice, igraph, MASS, Matrix | ||
| Description: The package "fastclime" provides a method of recover the | ||
| precision matrix efficiently by applying parametric simplex | ||
| method. The computation is based on a linear optimization | ||
| solver. It also contains a generic LP solver using parametric | ||
| simplex method. | ||
| solver. It also contains a generic LP solver and a parameterized LP solver using parametric simplex method. | ||
| License: GPL-2 | ||
| Repository: CRAN | ||
| Packaged: 2013-06-18 23:15:32 UTC; haotian | ||
| Packaged: 2013-07-11 18:46:54 UTC; haotian | ||
| NeedsCompilation: yes | ||
| Date/Publication: 2013-06-19 08:49:27 | ||
| Date/Publication: 2013-07-12 07:28:25 |
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| #-------------------------------------------------------------------------------# | ||
| # Package: fastclime # | ||
| # fastclp(): A parametric simplex LP solver for parameterized LP problems # | ||
| # Authors: Haotian Pang, Han Liu and Robert Vanderbei # | ||
| # Emails: <hpang@princeton.edu>, <hanliu@princeton.edu> and <rvdb@princetonedu> # | ||
| # Date: Jul 11th 2013 # | ||
| # Version: 1.2 # | ||
| #-------------------------------------------------------------------------------# | ||
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| paralp <- function(obj, mat, rhs, obj_bar, rhs_bar, lambda=0){ | ||
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| m<-length(rhs) | ||
| n<-length(obj) | ||
| m1<-length(rhs_bar) | ||
| n1<-length(obj_bar) | ||
| m0<-dim(mat)[1] | ||
| n0<-dim(mat)[2] | ||
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| opt<-rep(0,n) | ||
| status<-0 | ||
| error<-0 | ||
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| if (m!=m0 || n!=n0 || m!=m1 || n!=n1){ | ||
| cat("Dimensions do not match! \n") | ||
| error<-1 | ||
| } | ||
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| if (any(obj_bar<0) || any(rhs_bar<0)){ | ||
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| cat("The pertubation vector obj_bar and rhs_bar must be nonnegative! \n") | ||
| error<-2 | ||
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| } | ||
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| if (error==0){ | ||
| str=.C("paralp", as.double(obj), as.double(t(mat)), as.double(rhs), as.integer(m0), as.integer(n0), as.double(opt), as.integer(status), as.double(lambda), as.double(rhs_bar), as.double(obj_bar), PACKAGE="fastclime") | ||
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| opt<-unlist(str[6]) | ||
| status<-unlist(str[7]) | ||
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| if (status==0){ | ||
| cat("optimal solution found! \n") | ||
| return(opt) | ||
| } | ||
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| else if(status ==1){ | ||
| cat("The problem is infeasible! \n") | ||
| } | ||
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| else if(status ==2){ | ||
| cat("The problem is unbounded! \n") | ||
| } | ||
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| } | ||
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| } | ||
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,66 @@ | ||
| \name{paralp} | ||
| \alias{paralp} | ||
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| \title{ | ||
| A solver for parameterized LP problems | ||
| } | ||
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| \description{ | ||
| A parameterized linear programming solver using parametric simplex method | ||
| } | ||
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| \usage{ | ||
| paralp(obj,mat,rhs,obj_bar,rhs_bar,lambda=0) | ||
| } | ||
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| \arguments{ | ||
| \item{obj}{ | ||
| The objective vector of the coefficient with length n. | ||
| } | ||
| \item{mat}{ | ||
| The constraint matrix of the linear programming with dimension m*n. Note this argument must be in matrix form even it is a vector. | ||
| } | ||
| \item{rhs}{ | ||
| The right hand side vector of the constraint with length m. | ||
| } | ||
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| \item{obj_bar}{ | ||
| The vector used to time the parameter and added to the objective vector, with length n. This pertubation vector must be nonnegative. | ||
| } | ||
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| \item{rhs_bar}{ | ||
| The vector used to time the parameter and added to the right hand side vector, with length m. This pertubation vector must be nonnegative. | ||
| } | ||
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| \item{lambda}{ | ||
| The parametric simplex method will stop when the calculated paramter is smaller than lambda. The default value is zero and it corresponds to the optimal value. | ||
| } | ||
| } | ||
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| \details{ | ||
| This function is used to solve a general linear programming in standard inequality form: "maximize obj*x+obj_bar*lambda, subject to: mat*x<=rhs+rhs_bar*lambda, x>=0" | ||
| } | ||
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| \value{ | ||
| The optimal value will be returned if it exists with a proper value of chosen lambda. Otherwise the function will indicate the problem is infeasible or unbounded. | ||
| } | ||
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| \author{ | ||
| Haotian Pang, Han Liu and Robert Vanderbei \cr | ||
| Maintainer: Haotan Pang<hpang@princeton.edu> | ||
| } | ||
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| \seealso{ | ||
| \code{\link{fastclime}} and \code{\link{fastclime-package}} | ||
| } | ||
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| \examples{ | ||
| #generate an LP problem and solve it | ||
| A=matrix(c(-1,-1,0,1,-2,1),nrow=3) | ||
| b=c(-1,-2,1) | ||
| c=c(-2,3) | ||
| b_bar=c(1,1,1) | ||
| c_bar=c(1,1) | ||
| paralp(c,A,b,c_bar,b_bar) | ||
| } |
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