This MATLAB package includes implementations of fast projected Newton-like algorithm proposed in [1]. The licensing information is available in LICENSE.txt
[1] J.-F. Cai, J. V. de Miranda Cardoso, D. P. Palomar, and J. Ying, "Fast Projected Newton-like Method for Precision Matrix Estimation under Total Positivity", (https://arxiv.org/abs/2112.01939), arXiv:2112.01939, 2021.
The algorithm aims to estimate precision matrices in multivariate Gaussian distributions where all partial correlations are nonnegative, also known as multivariate totally positive of order two (MTP2).
To run the code: (1) Download the source files. (2) Run 'demo.m'