sdwd-package {sdwd}

Sparse Distance Weighted Discrimination

Description

This package implements the generalized coordinate descent (GCD) algorithm to efficiently compute the solution path of the sparse distance weighted discrimination (DWD) at a given fine grid of regularization parameters. Sparse distance weighted discrimination is a high-dimensional margin-based classifier.

Details

Package:	sdwd
Type:	Package
Version:	1.0.3
Date:	2020-02-16
License:	GPL-2

Suppose x is the predictors and y is the binary response. With a fixed value lambda2, the package produces the solution path of the sparse DWD over a grid of lambda values. The value of lambda2 can be further tuned by cross-validation.

The package sdwd contains five main functions:
sdwd
cv.sdwd
coef.sdwd
plot.sdwd
plot.cv.sdwd

Author(s)

Boxiang Wang and Hui Zou
Maintainer: Boxiang Wang [e-mail]

References

Wang, B. and Zou, H. (2016) “Sparse Distance Weighted Discrimination", Journal of Computational and Graphical Statistics, 25(3), 826–838.
https://www.tandfonline.com/doi/full/10.1080/10618600.2015.1049700

Friedman, J., Hastie, T., and Tibshirani, R. (2010), "Regularization paths for generalized linear models via coordinate descent," Journal of Statistical Software, 33(1), 1–22.
https://www.jstatsoft.org/v33/i01/paper

Marron, J.S., Todd, M.J., Ahn, J. (2007) “Distance-Weighted Discrimination"", Journal of the American Statistical Association, 102(408), 1267–1271.
https://www.tandfonline.com/doi/abs/10.1198/016214507000001120

Tibshirani, Robert., Bien, J., Friedman, J.,Hastie, T.,Simon, N.,Taylor, J., and Tibshirani, Ryan. (2012) Strong Rules for Discarding Predictors in Lasso-type Problems, Journal of the Royal Statistical Society, Series B, 74(2), 245–266.
https://rss.onlinelibrary.wiley.com/doi/abs/10.1111/j.1467-9868.2011.01004.x

Yang, Y. and Zou, H. (2013) “An Efficient Algorithm for Computing the HHSVM and Its Generalizations", Journal of Computational and Graphical Statistics, 22(2), 396–415.
https://www.tandfonline.com/doi/full/10.1080/10618600.2012.680324