Sparsity by Worst-Case Quadratic Penalties

Fits classical sparse regression models with efficient active set algorithms by solving quadratic problems. Also provides a few methods for model selection purpose (cross-validation, stability selection).


News

NEWS/Changelog

0.2-4 (2014-01-16) Minor: + memory leak corrected (sp_mat declaration) + linking to Rcpp/RcppArmadillo headers (requires R 3.0-2)

0.2-3 (2013-08-26) + added back the 'normalize' parameter + standardization is performed within the C++ code + use of sparse conversion from Matrix to Armadillo + corrected bug with the 'intercept' and 'residuals' components of the quadrupen class + added more tests in the inst directory + correction in the documentation + added r.squared to the quadrupen class

0.2-2 (2013-04-08) + minor fix to comply with recent ggplot2 updates.

0.2-1 (2013-02-27) + minor fix to pass CRAN check on Windows operating systems.

0.2-0 (2013-02-26) Major: + added bounded regression (regression penalized by infinity norm + structered l2 norm) + added corresponding functionalies for cross-validation and stability path Minor: + corrected wrong annotations of the stability path (PFER) + handled normalization internally ('normalize' is no longer a parameter) + more simple internal handling of penscales and correction of the rescaling of the intercept + better use of multicore features + handled runtime error exception in RcppArmadillo when the system is singular (end of the solution path) A consequence is quadrupen is less likely to crash due to user's "bad" parametrization + simplification of the C++ code, bugs corrected, probably new ones added :-'( + added 'examples' and 'tests' directories

0.1-0 (2012-10-09) + first build: structured elastic-net with (weighted) quadratic loss, cross-validation and stability selection methods.

Reference manual

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install.packages("quadrupen")

0.2-5 by Julien Chiquet, 9 months ago


Browse source code at https://github.com/cran/quadrupen


Authors: Julien Chiquet [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports reshape2, methods, scales, grid, parallel

Depends on Rcpp, ggplot2, Matrix

Suggests testthat

Linking to Rcpp, RcppArmadillo


See at CRAN