Guilherme V. Rocha's Software


This page is under eternal construction...


Here are some Matlab "packages" my collaborators and I have programmed.
If you use them, please acknowledge our work.

Head banging
  • SDE Simulator: Matlab code for simulating time homogeneous diffusion processes/Stochastic Differential Equations/continuous time Markov chains;


  • Lasso: Matlab code for tracing the LASSO regularization path exactly based on the homotopy/LARS-LASSO algorithm;

  • iCAP: This is an update of the Matlab code with the algorithm for tracing the iCAP regularization (see Zhao, Rocha, Yu, 2006);


Check back soon for:
  • Generic BLasso: Matlab code for tracing the regularization path with generic loss and penalty functions (see Zhao and Yu 2004);

Please send comments, questions, suggestions and bug reports to gvrocha [AT] gmail [DOT] com

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