A python wrapper for QUIC, computing a sparse inverse covariance matrix estimation using quadratic approximation. It is based on Version 1.2 of the QUIC code. The wrapper was successfully tested on OSX (10.6), Ubuntu (11.04) and Arch Linux.
The modifications to the original C++ source (from the above website) are minimal: See the diff for the second overall commit.
In the directorypy_quic/, run make. Make sure that your lapack library is available.
If necessary, add library_dirs in py_quic/setup.py.
For testing the algorithm, run python test.py after a successful build. Note that
the file ER_692.mat has to be in the main directory. It is contained in the
MEX package archive from the QUIC.
See Sparse Inverse Covariance Matrix Estimation Using Quadratic Approximation by Cho-Jui Hsieh, Mátyás A. Sustik, Inderjit S. Dhillon, Pradeep Ravikumar, available on the QUIC website.