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

Files in this package

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

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