rDecode

Algorithms for solving a self-calibrated l1-regularized quadratic programming problem without parameter tuning. The algorithm, called DECODE, can handle high-dimensional data without cross-validation. It is found useful in high dimensional portfolio selection (see Pun (2018) https://ssrn.com/abstract=3179569) and large precision matrix estimation and sparse linear discriminant analysis (see Pun and Hadimaja (2019) https://ssrn.com/abstract=3422590).

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