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.
Based on the paper
Sparse inverse covariance estimation with the graphical lasso
(Friedman, Hastie, Tibshirani, published in Biostatistics)
glasso R package (Linux gz file)
glasso R package (Windows zip file)