#!/usr/bin/env Rscript
# Demo usage of sgd for linear regression on simulated normal data.
#
# Data generating process:
# Y = X %*% theta + epsilon, where
# X ~ Normal(0, 1)
# theta = (5,...,5)
# epsilon ~ Normal(0,1)
#
# Dimensions:
# N=1e5 observations
# d=1e2 parameters
library(sgd)
# Dimensions
N <- 1e5
d <- 1e2
# Generate data.
set.seed(42)
X <- matrix(rnorm(N*d), ncol=d)
theta <- rep(5, d+1)
eps <- rnorm(N)
y <- cbind(1, X) %*% theta + eps
dat <- data.frame(y=y, x=X)
sgd.theta <- sgd(y ~ ., data=dat, model="lm")
plot(sgd.theta, theta, type="mse-param")
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