Code for high-dimensional variable selection with the TREX
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examples
misc
solvers
trex
.gitignore
README
findTREXLB.m
findTREXUB.m
install_trex.m

README

README file for TREX code 
Authors: Christian L. Mueller, Simons Foundation 
         Jacob Bien, Cornell University
	 Irina Gaynanova, Texas A&M
	 Patrick Combettes, NC State (for proximal algorithm)

The TREX package contains the following files and folders

README (this file)
examples/ (different scenarios), also includes figure creation for JCGS publication
install_trex.m (script to add package to MATLAB path)
misc/ (different files, the barweb plotting and the knockoff filter (after download))
solvers/ (Schmidt's PSG code, the ECOS solver (after download), and SCS solver)
trex/ (TREX files (both single and multi-thread versions), TREX knockoff filter)

The proximal solvers are fully integrated and do not rely on external software.

Dependencies

## ECOS Solver for the cTREX ##
The fastest way to solve the cTREX objective is by using the ECOS solver:

The software can be downloaded at:
https://github.com/embotech/ecos

The MATLAB interface can be found at:
https://github.com/embotech/ecos-matlab

## SCS Solver for the cTREX ##
SCS can be downloaded from https://github.com/cvxgrp/scs


Please place the different files  in the solver/ folder


## KNOCKOFF FILTER ##
Knockoff filtering with the TREX requires the MATLAB knockoff filter package 
by Barber-Foygel and Candes. The software can be downloaded at:

http://web.stanford.edu/~candes/Knockoffs/package_matlab.html

Please place it in the misc/ folder


FAQ

USEFUL FOR SCS CODE COMPILATION

Workaround for compiling code using mex for Mac OS X with MATLAB 2015a and Xcode 7+
http://www.mathworks.com/matlabcentral/answers/246507-why-can-t-mex-find-a-supported-compiler-in-matlab-r2015b-after-i-upgraded-to-xcode-7-0