The goal of higrad is to implement the Hierarchical Incremental GRAdient Descent (HiGrad) algorithm. HiGrad is a first-order algorithm for finding the minimizer of a function in online learning just like SGD and, in addition, this method attaches a confidence interval to assess the uncertainty of its predictions.
This is a basic example which shows you how to solve a linear regression using higrad with simulated data. The predictions obtained at the end come with 95% confidence intervals.
library(higrad) # generate a data set for linear regression n <- 1e6 d <- 50 sigma <- 1 theta <- rep(0, d) x <- matrix(rnorm(n * d), n, d) y <- as.numeric(x %*% theta + rnorm(n, 0, sigma)) # fit the linear regression with higrad using the default setting fit <- higrad(x, y, model = "lm") # predict for 10 new samples newx <- matrix(rnorm(10 * d), 10, d) pred <- predict(fit, newx)
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