The biglasso Package: A Memory- and Computation-Efficient Solver for Lasso Model Fitting with Big Data in R

20 Jan 2017Yaohui ZengPatrick Breheny

Penalized regression models such as the lasso have been extensively applied to analyzing high-dimensional data sets. However, due to memory limitations, existing R packages like glmnet and ncvreg are not capable of fitting lasso-type models for ultrahigh-dimensional, multi-gigabyte data sets that are increasingly seen in many areas such as genetics, genomics, biomedical imaging, and high-frequency finance... (read more)

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