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Code for high-dimensional variable selection with the TREX
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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