flare: Family of Lasso Regression

The package "flare" provides the implementation of a family of Lasso variants including Dantzig Selector, LAD Lasso, SQRT Lasso, Lq Lasso for estimating high dimensional sparse linear model. We adopt the alternating direction method of multipliers and convert the original optimization problem into a sequential L1 penalized least square minimization problem, which can be efficiently solved by linearization algorithm. A multi-stage screening approach is adopted for further acceleration. Besides the sparse linear model estimation, we also provide the extension of these Lasso variants to sparse Gaussian graphical model estimation including TIGER and CLIME using either L1 or adaptive penalty. Missing values can be tolerated for Dantzig selector and CLIME. The computation is memory-optimized using the sparse matrix output.

AuthorXingguo Li, Tuo Zhao, Lie Wang, Xiaoming Yuan and Han Liu
Date of publication2014-10-19 01:53:12
MaintainerXingguo Li <xingguo.leo@gmail.com>
LicenseGPL-2
Version1.5.0

View on CRAN

Functions

coef.slim Man page
eyedata Man page
flare Man page
flare-package Man page
part.cv Man page
plot.roc Man page
plot.select Man page
plot.sim Man page
plot.slim Man page
plot.sugm Man page
predict.slim Man page
print.roc Man page
print.select Man page
print.sim Man page
print.slim Man page
print.sugm Man page
slim Man page
slim.dantzig.ladm.scr Man page
slim.lad.ladm.scr.btr Man page
slim.lasso.ladm.scr Man page
slim.lq.ladm.scr.btr Man page
slim.sqrt.ladm.scr Man page
sugm Man page
sugm.clime.ladm.scr Man page
sugm.cv Man page
sugm.generator Man page
sugm.likelihood Man page
sugm.plot Man page
sugm.roc Man page
sugm.select Man page
sugm.tiger.ladm.scr Man page
sugm.tracel2 Man page

Files

flare
flare/inst
flare/inst/doc
flare/inst/doc/vignette.Rnw
flare/inst/doc/vignette.pdf
flare/inst/doc/flare.pdf
flare/src
flare/src/slim_lasso_ladm_scr.c
flare/src/mymath.c
flare/src/slimh.c
flare/src/slim_lad_ladm_scr_btr.c
flare/src/mymath.h
flare/src/SFGen.c
flare/src/sugm_tiger_ladm_scr.c
flare/src/slimh.h
flare/src/slim_lq_ladm_scr_btr.c
flare/src/sugm_clime_ladm_scr.c
flare/src/euc_proj.c
flare/src/slim_dantzig_ladm_scr.c
flare/src/slim_sqrt_ladm_scr.c
flare/NAMESPACE
flare/data
flare/data/eyedata.rda
flare/data/datalist
flare/R
flare/R/slim.R flare/R/slim.sqrt.ladm.scr.R flare/R/slim.dantzig.ladm.scr.R flare/R/sugm.roc.R flare/R/slim.lad.ladm.scr.btr.R flare/R/sugm.plot.R flare/R/sugm.clime.ladm.scr.R flare/R/slim.dantzig.ladm.scr2.R flare/R/sugm.cv.R flare/R/sugm.select.R flare/R/slim.lq.ladm.scr.btr.R flare/R/sugm.R flare/R/sugm.generator.R flare/R/sugm.tiger.ladm.scr.R flare/R/slim.lasso.ladm.scr.R
flare/vignettes
flare/vignettes/vignette.Rnw
flare/vignettes/flare.pdf
flare/MD5
flare/build
flare/build/vignette.rds
flare/DESCRIPTION
flare/man
flare/man/plot.select.Rd flare/man/sugm.select.Rd flare/man/print.roc.Rd flare/man/flare-internal.Rd flare/man/print.sim.Rd flare/man/sugm.Rd flare/man/coef.slim.Rd flare/man/slim.Rd flare/man/plot.roc.Rd flare/man/eyedata.Rd flare/man/plot.slim.Rd flare/man/print.slim.Rd flare/man/plot.sim.Rd flare/man/sugm.plot.Rd flare/man/flare-package.Rd flare/man/predict.slim.Rd flare/man/sugm.generator.Rd flare/man/sugm.roc.Rd flare/man/print.sugm.Rd flare/man/print.select.Rd flare/man/plot.sugm.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.