ADMM

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We provide implementation for a class of problems that use alternating direction method of multipliers (ADMM)-type algorithms.

Installation

You can install the released version of ADMM from CRAN with:

install.packages("ADMM")

And the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("kyoustat/ADMM")

Available Functions

Currently, we support following classes of problems and functions. For more details, please see help pages of each function using help() function in your R session.

Function Description
admm.bp Basis Pursuit
admm.enet Elastic Net Regularization
admm.genlasso Generalized LASSO
admm.lad Least Absolute Deviations
admm.lasso Least Absolute Shrinkage and Selection Operator
admm.rpca Robust Principal Component Analysis
admm.sdp Semidefinite Programming
admm.spca Sparse Principal Component Analysis
admm.tv Total Variation Minimization