BlockPrecisionMatrix.jl

This computation is a nice exemple to test parallelization in Julia. In notebooks directory you find different ways to parallelize the same process. I used pmap, Distributed channel and threads.

git clone https://github.com/pnavaro/BlockPrecisionMatrix.jl.git
cd BlockPrecisionMatrix
julia --project

Some linked packages

• SparseRegression.jl
• Lasso.jl
• QuantileRegression.jl
• CovarianceEstimation.jl

References

Xia, L. , Huang, X. , Wang, G. and Wu, T. (2017) Positive-Definite Sparse Precision Matrix Estimation. Advances in Pure Mathematics, 7, 21-30. doi: 10.4236/apm.2017.71002.