• Matrix Completion: “Soft-Impute”

Matlab package: MATLAB-files

R package (CRAN): here

based on the paper : ‘‘Spectral Regularization Algorithms for Learning Large Incomplete Matrices", Rahul Mazumder, Trevor Hastie and Rob Tibshirani, 2010, Journal of Machine Learning Research 11, 2287-2322. pdf

  • Non-Convex penalized regression : “SparseNet” Rpackage

based on the paper : ‘‘SparseNet: Coordinate Descent with Non-Convex Penalties" Rahul Mazumder, Jerome Friedman and Trevor Hastie, 2011, Journal of American Statistical Association, Theory and Methods, 106(495):1125 - 1138.

based on the paper : ‘‘Exact covariance thresholding into connected components for large-scale Graphical Lasso", Rahul Mazumder and Trevor Hastie, 2011, submitted, ArXiv-link; published in JMLR 2012.

  • Graphical Lasso on the Primal (dpglasso) : R-package

based on the paper : “The graphical lasso: New insights and alternatives”, Rahul Mazumder and Trevor Hastie; EJS 2012, Vol(6)

  • Bandwith Extension via Convex Optimization : Matlab Files and demo available from link