Package 'RcppLbfgsBlaze'

RcppLbfgsBlaze - Rcpp interface to the L-BFGS algorithm with Blaze

Description

RcppLbfgsBlaze constructs a simple interface to the L-BFGS algorithm based on Blaze for R and Rcpp.

Details

This package provides an implementation of the L-BFGS algorithm based on Blaze for R and Rcpp. The L-BFGS algorithm is a popular optimization algorithm for unconstrained optimization problems. Blaze is a high-performance C++ math library for dense and sparse arithmetic. The package provides a simple interface to the L-BFGS algorithm and allows users to optimize their objective functions with Blaze vectors and matrices in R and Rcpp.

Using RcppLbfgsBlaze

The simplest way to get started is to create a skeleton of a package using RcppLbfgsBlaze.

The important steps are

1. Include the ‘⁠RcppBlaze.h⁠’ and ‘⁠lbfgs.h⁠’ header files.

2. Import Rcpp. LinkingTo Rcpp, RcppBlaze and RcppLbfgsBlaze by adding these lines to the ‘⁠DESCRIPTION⁠’ file:

     Imports: Rcpp (>= 1.0.0)
     LinkingTo: Rcpp, RcppBlaze (>= 1.0.0), RcppLbfgsBlaze
   

3. Link against the BLAS and LAPACK libraries, by adding following two lines in the ‘⁠Makevars⁠’ and ‘⁠Makevars.win⁠’ files:

     PKG_CXXFLAGS=$(SHLIB_OPENMP_CXXFLAGS)
     PKG_LIBS = $(LAPACK_LIBS) $(BLAS_LIBS) $(FLIBS) $(SHLIB_OPENMP_CXXFLAGS)
   

Author(s)

For RcppLbfgsBlaze: Ching-Chuan Chen Maintainer: Ching-Chuan Chen <[email protected]>

References

1. Blaze project: https://bitbucket.org/blaze-lib/blaze.

2. LBFGS-blaze: https://github.com/ChingChuan-Chen/LBFGS-blaze

3. LBFGS-Lite: https://github.com/ZJU-FAST-Lab/LBFGS-Lite

4. liblbfgs: https://github.com/chokkan/liblbfgs

See Also

Useful links:

• https://github.com/ChingChuan-Chen/RcppLbfgsBlaze

• https://github.com/ChingChuan-Chen/LBFGS-blaze

• https://github.com/ZJU-FAST-Lab/LBFGS-Lite

• https://bitbucket.org/blaze-lib/blaze/src/master/

• Report bugs at https://github.com/Chingchuan-chen/RcppLbfgsBlaze/issues

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Logistic Regression Fitting Using L-BFGS Algorithm

Description

This function leverage blaze and LBFGS-Blaze to efficiently fit logistic regression.

Usage

fastLogisticModel(X, y)

Arguments

X	The model matrix.
y	The response vector.

Value

A list of L-BFGS optimization result.

Examples

X <- matrix(rnorm(5000), 1000)
coef <- runif(5, -3, 3)
y <- sapply(1 / (1 + exp(-X %*% coef)), function(p) rbinom(1, 1, p), USE.NAMES = FALSE)

fit <- fastLogisticModel(X, y)

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