Package: ncpen 1.0.0

Dongshin Kim

ncpen: Unified Algorithm for Non-convex Penalized Estimation for Generalized Linear Models

An efficient unified nonconvex penalized estimation algorithm for Gaussian (linear), binomial Logit (logistic), Poisson, multinomial Logit, and Cox proportional hazard regression models. The unified algorithm is implemented based on the convex concave procedure and the algorithm can be applied to most of the existing nonconvex penalties. The algorithm also supports convex penalty: least absolute shrinkage and selection operator (LASSO). Supported nonconvex penalties include smoothly clipped absolute deviation (SCAD), minimax concave penalty (MCP), truncated LASSO penalty (TLP), clipped LASSO (CLASSO), sparse ridge (SRIDGE), modified bridge (MBRIDGE) and modified log (MLOG). For high-dimensional data (data set with many variables), the algorithm selects relevant variables producing a parsimonious regression model. Kim, D., Lee, S. and Kwon, S. (2018) <arxiv:1811.05061>, Lee, S., Kwon, S. and Kim, Y. (2016) <doi:10.1016/j.csda.2015.08.019>, Kwon, S., Lee, S. and Kim, Y. (2015) <doi:10.1016/j.csda.2015.07.001>. (This research is funded by Julian Virtue Professorship from Center for Applied Research at Pepperdine Graziadio Business School and the National Research Foundation of Korea.)

Authors:Dongshin Kim [aut, cre, cph], Sunghoon Kwon [aut, cph], Sangin Lee [aut, cph]

ncpen_1.0.0.tar.gz
ncpen_1.0.0.zip(r-4.5)ncpen_1.0.0.zip(r-4.4)ncpen_1.0.0.zip(r-4.3)
ncpen_1.0.0.tgz(r-4.4-x86_64)ncpen_1.0.0.tgz(r-4.4-arm64)ncpen_1.0.0.tgz(r-4.3-x86_64)ncpen_1.0.0.tgz(r-4.3-arm64)
ncpen_1.0.0.tar.gz(r-4.5-noble)ncpen_1.0.0.tar.gz(r-4.4-noble)
ncpen_1.0.0.tgz(r-4.4-emscripten)ncpen_1.0.0.tgz(r-4.3-emscripten)
ncpen.pdf |ncpen.html
ncpen/json (API)

# Install 'ncpen' in R:
install.packages('ncpen', repos = c('https://zeemkr.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/zeemkr/ncpen/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3

On CRAN:

binomialclassocoxgaussianhigh-dimensional-datalassolinearmbridgemcpmlogmultinomialnonconvex-penaltiespoissonscadsridgetlp

3.88 score 8 stars 19 scripts 123 downloads 30 exports 2 dependencies

Last updated 6 years agofrom:e17a0f5f28. Checks:OK: 4 NOTE: 5. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 06 2024
R-4.5-win-x86_64NOTENov 06 2024
R-4.5-linux-x86_64NOTENov 06 2024
R-4.4-win-x86_64NOTENov 06 2024
R-4.4-mac-x86_64NOTENov 06 2024
R-4.4-mac-aarch64NOTENov 06 2024
R-4.3-win-x86_64OKNov 06 2024
R-4.3-mac-x86_64OKNov 06 2024
R-4.3-mac-aarch64OKNov 06 2024

Exports:coef.cv.ncpencoef.ncpencontrol.ncpencv.ncpencv.ncpen.regexcludedfold.cv.ncpengic.ncpeninteract.datamake.ncpen.datanative_cpp_ncpen_fun_native_cpp_nr_fun_native_cpp_obj_fun_native_cpp_obj_grad_fun_native_cpp_obj_hess_fun_native_cpp_p_ncpen_fun_native_cpp_pen_fun_native_cpp_pen_grad_fun_native_cpp_qlasso_fun_native_cpp_set_dev_mode_ncpenncpen.regplot.cv.ncpenplot.ncpenpower.datapredict.ncpensam.gen.ncpensame.baseto.indicatorsto.ncpen.x.mat

Dependencies:RcppRcppArmadillo

Readme and manuals

Help Manual

Help pageTopics
ncpen: A package for non-convex penalized estimation for generalized linear modelsncpen-package
coef.cv.ncpen: extracts the optimal coefficients from 'cv.ncpen'.coef.cv.ncpen
coef.ncpen: extract the coefficients from an 'ncpen' objectcoef.ncpen
control.ncpen: do preliminary works for 'ncpen'.control.ncpen
cv.ncpen: cross validation for 'ncpen'cv.ncpen
cv.ncpen: cross validation for 'ncpen'cv.ncpen.reg
Check whether a pair should be excluded from interactions.excluded
fold.cv.ncpen: extracts fold ids for 'cv.ncpen'.fold.cv.ncpen
gic.ncpen: compute the generalized information criterion (GIC) for the selection of lambdagic.ncpen
Construct Interaction Matrixinteract.data
Create ncpen Data Structure Using a Formulamake.ncpen.data
Native ncpen function.native_cpp_ncpen_fun_
N/A.native_cpp_nr_fun_
Native object function.native_cpp_obj_fun_
Native object gradient function.native_cpp_obj_grad_fun_
Native object Hessian function.native_cpp_obj_hess_fun_
Native point ncpen function.native_cpp_p_ncpen_fun_
Native Penalty function.native_cpp_pen_fun_
Native Penalty Gradient function.native_cpp_pen_grad_fun_
Native QLASSO function.native_cpp_qlasso_fun_
N/A.native_cpp_set_dev_mode_
ncpen: nonconvex penalized estimationncpen
ncpen.reg: nonconvex penalized estimationncpen.reg
plot.cv.ncpen: plot cross-validation error curve.plot.cv.ncpen
plot.ncpen: plots coefficients from an 'ncpen' object.plot.ncpen
Power Datapower.data
predict.ncpen: make predictions from an 'ncpen' objectpredict.ncpen
sam.gen.ncpen: generate a simulated dataset.sam.gen.ncpen
Check whether column names are derivation of a same base.same.base
Construct Indicator Matrixto.indicators
Convert a 'data.frame' to a 'ncpen' usable 'matrix'.to.ncpen.x.mat