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Family of Lasso Regression

Provide the implementation of a family of Lasso variants including Dantzig Selector, LAD Lasso, SQRT Lasso, Lq Lasso for estimating high dimensional sparse linear model. We adopt the alternating direction method of multipliers and convert the original optimization problem into a sequential L1 penalized least square minimization problem, which can be efficiently solved by linearization algorithm. A multi-stage screening approach is adopted for further acceleration. Besides the sparse linear model estimation, we also provide the extension of these Lasso variants to sparse Gaussian graphical model estimation including TIGER and CLIME using either L1 or adaptive penalty. Missing values can be tolerated for Dantzig selector and CLIME. The computation is memory-optimized using the sparse matrix output.

Functions in flare

Name Description
sugm.plot Graph visualization for an object with S3 class "sugm"
sugm.roc Draw ROC Curve for an object with S3 class "sugm"
slim Sparse Linear Regression using Nonsmooth Loss Functions and L1 Regularization
print.sugm Print Function for an object with S3 class "sugm"
print.roc Print Function for for an object with S3 class "roc"
print.select Print Function for for an object with S3 class "select"
eyedata The Bardet-Biedl syndrome Gene expression data from Scheetz et al. (2006)
print.sim Print Function for for an object with S3 class "sim"
print.slim Print Function for an object with S3 class "slim"
sugm.select Model selection for high-dimensional undirected graphical models
sugm.generator Data generator for sparse undirected graph estimation.
sugm High-deimensional Sparse Undirected Graphical Models.
plot.sim Plot Function for "sim"
plot.select Plot Function for "select"
plot.sugm Plot Function for "sugm"
plot.roc Plot Function for "roc"
flare-internal Internal flare functions
plot.slim Plot Function for "slim"
predict.slim Prediction for an object with S3 class "slim"
coef.slim Extract Model Coefficients for an object with S3 class "slim"
flare-package flare: a new Family of Lasso Regression
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Vignettes of flare

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flare.pdf
vignette.Rnw
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Details

Type Package
Date 2018-03-21
License GPL-2
Repository CRAN
NeedsCompilation yes
Packaged 2019-08-02 12:56:57 UTC; hornik
Date/Publication 2019-08-02 12:59:57 UTC
X-CRAN-Original-Maintainer Xingguo Li
X-CRAN-Comment Orphaned and corrected on 2019-07-02 as misuse of package= for PACKAGE= was not corrected despite reminder. More corrections on 2019-08-02.

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