README file for TREX code
Authors: Christian L. Mueller, Simons Foundation
Jacob Bien, Cornell University
Irina Gaynanova, Texas A&M
Patrick Combettes, NC State (for proximal algorithm)
The TREX package contains the following files and folders
README (this file)
examples/ (different scenarios)
install_trex.m (script to add package to MATLAB path)
misc/ (different files, the barweb plotting and the knockoff filter (after download))
solvers/ (Schmidt's PSG code, the ECOS solver (after download), and SCS solver)
trex/ (TREX files (both single and multi-thread versions), TREX knockoff filter)
The proximal solvers are fully integrated and do not rely on external software.
Dependencies
## ECOS Solver for the cTREX ##
The fastest way to solve the cTREX objective is by using the ECOS solver:
The software can be downloaded at:
https://github.com/embotech/ecos
The MATLAB interface can be found at:
https://github.com/embotech/ecos-matlab
## SCS Solver for the cTREX ##
SCS can be downloaded from https://github.com/cvxgrp/scs
Please place the different files in the solver/ folder
## KNOCKOFF FILTER ##
Knockoff filtering with the TREX requires the MATLAB knockoff filter package
by Barber-Foygel and Candes. The software can be downloaded at:
http://web.stanford.edu/~candes/Knockoffs/package_matlab.html
Please place it in the misc/ folder
FAQ
USEFUL FOR SCS CODE COMPILATION
Workaround for compiling code using mex for Mac OS X with MATLAB 2015a and Xcode 7+
http://www.mathworks.com/matlabcentral/answers/246507-why-can-t-mex-find-a-supported-compiler-in-matlab-r2015b-after-i-upgraded-to-xcode-7-0