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FFKron3.m

FFKron3.m

 
 

MCP_derivative.m

MCP_derivative.m

 
 

README

README

 
 

SCAD_derivative.m

SCAD_derivative.m

 
 

auc_comp.m

auc_comp.m

 
 

experiment1_lambdaSweep.m

experiment1_lambdaSweep.m

 
 

experiment2_numConvergence.m

experiment2_numConvergence.m

 
 

generate_cov.m

generate_cov.m

 
 

generate_cov_grid.m

generate_cov_grid.m

 
 

project_ksum.m

project_ksum.m

 
 

shrinkL1.m

shrinkL1.m

 
 

shrink_regularizer.m

shrink_regularizer.m

 
 

teralasso.m

teralasso.m

 
 

windExperiment.m

windExperiment.m

 
 

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README

Main TeraLasso algorithm is teralasso.m

Three experiments are included as scripts: 

experiment1lambdaSweep.m: recreates Figure 8(b) with fewer random trials (to control runtime).

experiment2numConvergence.m: An experiment testing numerical convergence of the TeraLasso with nonconvex regularization, typical of those in Figure 15 (supplement).

windExperiment.m: Experiment recreating Figure 12. Our results are shown, the BiGLasso method is included but commented out due to its excessive runtime.

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