In rdrr1990/bigKRLS: Optimized Kernel Regularized Least Squares

This code establishes the numeric convergence of bigKRLS and KRLS estimates.

library(bigKRLS)

set.seed(2018)
N <- 500  
P <- 6
X <- matrix(rnorm(N*P), ncol=P)
X[,P] <- ifelse(X[,P] > 0.12345, 1, 0)
b <- runif(ncol(X))
y <- X %*% b + rnorm(nrow(X))

KRLS.out <- KRLS::krls(X = X, y = y, print.level = 0, eigtrunc=0.01)
bigKRLS.out <- bigKRLS(y, X, instructions = FALSE, eigtrunc=0.01)

cor(KRLS.out$coeffs, bigKRLS.out$coeffs)    # should be 1

KRLS.out$avgderivatives
bigKRLS.out$avgderivatives

max(abs(bigKRLS.out$derivatives - KRLS.out$derivatives)) < 0.00000001

sessioninfo::session_info()

rdrr1990/bigKRLS documentation built on Aug. 2, 2019, 9:13 a.m.