HDIM is a toolkit for working with high-dimensional data that emphasizes speed and statistical guarantees. Specifically, it provides tools for working with the LASSO objective function.
HDIM provides iterative solvers for the LASSO objective function including ISTA, FISTA and Coordinate Descent. HDIM also provides FOS, the Fast and Optimal Selection algorithm, a novel new method for performing variable selection via the LASSO.
This package is a R wrapper over the original C++ implementation of HDIM.
This package requires that the Eigen 3
C++ linear algebra package be installed on the target system. Note that the root
directory for Eigen 3, labeled eigen3, should be located under /usr/include/.
This package has been tested on, and currently supports the Linux and Windows operating systems.
Installation under Windows requires that the root directory of the Eigen3 library be located in the same directory as the root of the HDIM package.
- Clone the HDIM package into the directory where the Eigen3 library is located using
git clone --recursive https://github.com/LedererLab/HDIM-R.git. - Navigate to $PKG_DIR/R_Wrapper, where PKG_DIR is the root directory of the cloned repository.
- Find the file
win_build.ps1and run it using PowerShell. - This will run a preprocessing step using Rcpp then build and install the R Wrapper.
- Clone the HDIM package into a convenient location
git clone --recursive https://github.com/LedererLab/HDIM-R.git. - Navigate to $PKG_DIR/R_Wrapper, where PKG_DIR is the root directory of the cloned repository.
- Find the file
nix_build.shand mark it as executable (chmod +x ./nix_build.sh). - This will run a preprocessing step using Rcpp then build and install the R Wrapper.
The HDIM-R package is licensed under the GPLv3 license. To view the GPLv3 license please consult
the HDIM/GPLv3.txt file included with this package.
Based on research conducted by the Lederer and Hauser HDIM group including work by Johannes Lederer, Alain Hauser, Néhémy Lim, and others.
The original C++ implementation of the HDIM package was constructed by Saba Noorassa and Benjamin J Phillips.
This package was constructed by Benjamin J Phillips.