This uses the COM interface, so only works on Windows.
library(glasso)
b = 1 4 9 16 25 36 49 64 81 100 c = 2 5 10 17 26 37 50 65 82 101
!R --no-save # at the matlab prompt q() # at the R prompt to quit.
function precMat = glassoR(C, rho, useMBapprox) % Use L1-linear regression to find markov blankets and then Lambda. % Uses R code from http://www-stat.stanford.edu/~tibs/glasso/ openR; evalR('C<-1') % must pre-declare variable before writing a matrix evalR('L<-1') putRdata('C',C); putRdata('rho',rho); putRdata('useMBapprox', useMBapprox) evalR('stuff <- glasso(C,rho=rho,approx=useMBapprox)'); evalR('L <- stuff$wi') % inverse covariance matrix precMat = getRdata('L'); closeR;