abess
Software:74746
Fast Best Subset Selection
Junxian Zhu, Yanhang Zhang, Jin Zhu, Borui Tang, Shiyun Lin, Heping Zhang, Junhao Huang, Xueqin Wang, Liyuan Hu, Kangkang Jiang, Canhong Wen, Zezhi Wang
Last update: 19 September 2023
Software version identifier: 0.4.7, 0.1.0, 0.2.0, 0.3.0, 0.4.0, 0.4.5, 0.4.6, 0.4.7, 0.4.8
Copyright license: GNU General Public License, File License
Extremely efficient toolkit for solving the best subset selection problem <https://www.jmlr.org/papers/v23/21-1060.html>. This package is its R interface. The package implements and generalizes algorithms designed in <doi:10.1073/pnas.2014241117> that exploits a novel sequencing-and-splicing technique to guarantee exact support recovery and globally optimal solution in polynomial times for linear model. It also supports best subset selection for logistic regression, Poisson regression, Cox proportional hazard model, Gamma regression, multiple-response regression, multinomial logistic regression, ordinal regression, (sequential) principal component analysis, and robust principal component analysis. The other valuable features such as the best subset of group selection <doi:10.1287/ijoc.2022.1241> and sure independence screening <doi:10.1111/j.1467-9868.2008.00674.x> are also provided.
