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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
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Package details |
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| Author | Marc A. Suchard [aut, cre], Patrick Ryan [aut], Observational Health Data Sciences and Informatics [cph] |
| Maintainer | Marc A. Suchard <msuchard@ucla.edu> |
| License | Apache License 2.0 |
| Version | 1.0.2 |
| Package repository | View on CRAN |
| Installation |
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