Package: SGDinference 0.1.0
Youngki Shin
SGDinference: Inference with Stochastic Gradient Descent
Estimation and inference methods for large-scale mean and quantile regression models via stochastic (sub-)gradient descent (S-subGD) algorithms. The inference procedure handles cross-sectional data sequentially: (i) updating the parameter estimate with each incoming "new observation", (ii) aggregating it as a Polyak-Ruppert average, and (iii) computing an asymptotically pivotal statistic for inference through random scaling. The methodology used in the 'SGDinference' package is described in detail in the following papers: (i) Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2022) <doi:10.1609/aaai.v36i7.20701> "Fast and robust online inference with stochastic gradient descent via random scaling". (ii) Lee, S., Liao, Y., Seo, M.H. and Shin, Y. (2023) <arxiv:2209.14502> "Fast Inference for Quantile Regression with Tens of Millions of Observations".
Authors:
SGDinference_0.1.0.tar.gz
SGDinference_0.1.0.tar.gz(r-4.5-noble)SGDinference_0.1.0.tar.gz(r-4.4-noble)
SGDinference_0.1.0.tgz(r-4.4-emscripten)SGDinference_0.1.0.tgz(r-4.3-emscripten)
SGDinference.pdf |SGDinference.html✨
SGDinference/json (API)
NEWS
| # Install 'SGDinference' in R: |
| install.packages('SGDinference', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/sgdinference-lab/sgdinference/issues
- Census2000 - Census2000
Last updated 11 months agofrom:0901edba49. Checks:OK: 1 WARNING: 1. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 12 2024 |
| R-4.5-linux-x86_64 | WARNING | Oct 12 2024 |
Exports:sgd_lmsgd_qrsgdi_lmsgdi_qr
Dependencies:RcppRcppArmadillo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Census2000 | Census2000 |
| Averaged SGD in Linear Mean Regression | sgd_lm |
| Averaged S-subGD Estimator in Linear Quantile Regression | sgd_qr |
| Averaged SGD and its Inference via Random Scaling | sgdi_lm |
| Averaged S-subGD and its Inference via Random Scaling in Linear Quantile Regression | sgdi_qr |
| SGDinference | SGDinference |
