glamlasso - Penalization in Large Scale Generalized Linear Array Models

Efficient design matrix free lasso penalized estimation in large scale 2 and 3-dimensional generalized linear array model framework. The procedure is based on the gdpg algorithm from Lund et al. (2017) <doi:10.1080/10618600.2017.1279548>. Currently Lasso or Smoothly Clipped Absolute Deviation (SCAD) penalized estimation is possible for the following models: The Gaussian model with identity link, the Binomial model with logit link, the Poisson model with log link and the Gamma model with log link. It is also possible to include a component in the model with non-tensor design e.g an intercept. Also provided are functions, glamlassoRR() and glamlassoS(), fitting special cases of GLAMs.

Last updated 4 years ago

openblascpp

2.48 score 1 stars 1 dependents 8 scripts 219 downloads

FRESHD - Fast Robust Extraction of Signals from Heterogenous Data

Procedure for solving the maximin problem for identical design across heterogeneous data groups. Particularly efficient when the design matrix is either orthogonal or has tensor structure. Orthogonal wavelets can be specified for 1d, 2d or 3d data simply by name. For tensor structured design the tensor components (two or three) may be supplied. The package also provides an efficient implementation of the generic magging estimator.

Last updated 3 years ago

openblascppopenmp

2.00 score 148 downloads

SMMA - Soft Maximin Estimation for Large Scale Array-Tensor Models

Efficient design matrix free procedure for solving a soft maximin problem for large scale array-tensor structured models, see Lund, Mogensen and Hansen (2019) <arXiv:1805.02407>. Currently Lasso and SCAD penalized estimation is implemented.

Last updated 4 years ago

openblascpp

1.60 score 1 stars 4 scripts 158 downloads

SMME - Soft Maximin Estimation for Large Scale Heterogeneous Data

Efficient procedure for solving the soft maximin problem for large scale heterogeneous data, see Lund, Mogensen and Hansen (2022) <doi:10.1111/sjos.12580>. Currently Lasso and SCAD penalized estimation is implemented. Note this package subsumes and replaces the SMMA package.

Last updated 2 years ago

openblascppopenmp

1.00 score 213 downloads