IterativeHardThresholding: Iterative Hard Thresholding Extensions to Cyclops

Fits large-scale regression models with a penalty that restricts the maximum number of non-zero regression coefficients to a prespecified value. While Chu et al (2020) <doi:10.1093/gigascience/giaa044> describe the basic algorithm, this package uses Cyclops for an efficient implementation.

Getting started

Package details

AuthorMarc A. Suchard [aut, cre], Patrick Ryan [aut], Observational Health Data Sciences and Informatics [cph]
MaintainerMarc A. Suchard <>
LicenseApache License 2.0
Package repositoryView on CRAN
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IterativeHardThresholding documentation built on Sept. 8, 2022, 9:07 a.m.