fast_ols: OLS solver that falls back to an optimisation if ncol(X) is...

In edahelsinki/slise: Sparse Linear Subset Explanations

OLS solver that falls back to an optimisation if ncol(X) is huge Also supports LASSO via optimisation

Description

OLS solver that falls back to an optimisation if ncol(X) is huge Also supports LASSO via optimisation

Usage

fast_ols(X, Y, weight = NULL, lambda = 0, max_iterations = 300)

Arguments

X	data matrix
Y	response vector
weight	weight vector (default: NULL)
lambda	LASSO regularisation (default: 0)
max_iterations	if ncol(X) is huge, then ols is replaced with optimisation (default:300)

Value

coefficient vector

edahelsinki/slise documentation built on Aug. 24, 2023, 11:03 p.m.