[mlpack] regression using sparse matrices/vectors

[Darryl Reeves]

Thanks, Ryan. Just to make sure I understand the plan, sounds like linear
regression and ridge regression will have sparse matrix support early in
the New Year but there are no plans to do the refactoring for LARS in the
near future?


On Tue, Dec 10, 2013 at 1:20 PM, Ryan Curtin <gth671b at mail.gatech.edu>wrote:

> On Tue, Dec 10, 2013 at 01:09:08PM -0500, Darryl Reeves wrote:
> > Hi Ryan,
> >
> > Thanks for the quick response. This is helpful. I really like the project
> > and was worried that I might have to go in a different direction to find
> a
> > solution for my problem. It is totally fine if the parameters of my model
> > are not sparse. However, due to the size of the data that I'm working
> with,
> > its not feasible for me to do the regression using the dense
> representation
> > of the predictor matrix. Can you provide some direction on which code
> > changes would be required to templatize the regression algorithms?
>
> Refactoring LARS (least-angle regression) would be difficult but
> refactoring LinearRegression (or ridge regression, they are basically
> the same) would be much simpler.  The catch, though, which I
> unfortunately didn't realize in my last email, is that arma::sp_mat (the
> sparse matrix class) does not support either the QR decomposition or
> inv() / solve().  This is something I am working on over time, but
> there's nothing in place quite yet.
>
> The current plan for Armadillo is to release version 4 shortly after New
> Year's, and it's my job to get qr() and inv() and solve() in there by
> then.   Once that's done I can refactor the LinearRegression class in
> like five minutes.  If you wanted LARS and not LinearRegression, that'll
> take a fair amount of refactoring thought, though.
>
> So anyway, if you can wait a few weeks, everything will be ready to go,
> but if not your best bet is probably MATLAB's sparse matrix support and
> its sparse linear equation solver to do linear regression or ridge
> regression.  See
>
> http://www.mathworks.com/help/matlab/math/sparse-matrix-operations.html#f6-9169
> for some more info on that.
>
> Thanks,
>
> Ryan
>
> --
> Ryan Curtin       | "You can think about it... but don't do it."
> ryan at igglybob.com |   - Sheriff Justice
>



-- 
Darryl Reeves
Ph.D. Candidate
Mason Lab
Weill Cornell Medical College of Cornell University
Tri-Institutional Program in Computational Biology and Medicine
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