This software, written in the R language,
estimates a sparse inverse covariance matrix using a lasso (L1) penalty.
It can be used for estimating a sparse undirected graph.
Version 1.3 fixed some errors in the Meinhausen-Buhlmann approximation, and includes a new
function for computing the solution along a path of regularization parameters.
Based on the paper
Sparse inverse covariance estimation with the graphical lasso
(Friedman, Hastie, Tibshirani, published in Biostatistics)
glasso R package (Linux gz file)
Windows and MAC versions available at
CRAN