abess

CRANabessMaRDI QIDQ74746FDOQ74746

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

Copyright license: GNU General Public License, File License

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

Description

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.

Cites work

• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• A polynomial algorithm for best-subset selection problem
• A Splicing Approach to Best Subset of Groups Selection

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