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RegressionFactory  

Expander Functions for Generating Full Gradient and Hessian from Single-Slot and Multi-Slot Base Distributions
View on CRAN: Click here


Download and install RegressionFactory package within the R console
Install from CRAN:
install.packages("RegressionFactory")

Install from Github:
library("remotes")
install_github("cran/RegressionFactory")

Install by package version:
library("remotes")
install_version("RegressionFactory", "0.7.4")



Attach the package and use:
library("RegressionFactory")
Maintained by
Alireza S. Mahani
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2014-12-01
Latest Update: 2020-10-26
Description:
The expander functions rely on the mathematics developed for the Hessian-definiteness invariance theorem for linear projection transformations of variables, described in authors' paper, to generate the full, high-dimensional gradient and Hessian from the lower-dimensional derivative objects. This greatly relieves the computational burden of generating the regression-function derivatives, which in turn can be fed into any optimization routine that utilizes such derivatives. The theorem guarantees that Hessian definiteness is preserved, meaning that reasoning about this property can be performed in the low-dimensional space of the base distribution. This is often a much easier task than its equivalent in the full, high-dimensional space. Definiteness of Hessian can be useful in selecting optimization/sampling algorithms such as Newton-Raphson optimization or its sampling equivalent, the Stochastic Newton Sampler. Finally, in addition to being a computational tool, the regression expansion framework is of conceptual value by offering new opportunities to generate novel regression problems.
How to cite:
Alireza S. Mahani (2014). RegressionFactory: Expander Functions for Generating Full Gradient and Hessian from Single-Slot and Multi-Slot Base Distributions. R package version 0.7.4, https://cran.r-project.org/web/packages/RegressionFactory. Accessed 21 Nov. 2024.
Previous versions and publish date:
0.7.1 (2015-01-25 08:26), 0.7.2 (2016-09-08 07:33), 0.7 (2014-12-01 22:00)
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