Implement the GLASSOFAST via f2py. Algorithm see: Sustik, M. A., & Calderhead, B. (2012). GLASSOFAST: an efficient GLASSO implementation. UTCS Technical Report TR-12-29 2012.
Run python -m f2py.py โc โm glassofast glasso.f90 --fcompiler=gnu95 --compiler=unix
first.