Cyclops (Cyclic coordinate descent for logistic, Poisson and survival analysis) is an R package for performing large scale regularized regressions.
- Regression of very large problems: up to millions of observations, millions of variables
- Supports (conditional) logistic regression, (conditional) Poisson regression, as well as (conditional) Cox regression
- Uses a sparse representation of the independent variables when appropriate
- Supports using no prior, a normal prior or a Laplace prior
- Supports automatic selection of hyperparameter through cross-validation
- Efficient estimation of confidence intervals for a single variable using a profile-likelihood for that variable
Cyclops in an R package, with most functionality implemented in C++. Cyclops uses cyclic coordinate descent to optimize the likelihood function, which makes use of the sparse nature of the data.
Requires R (version 3.1.0 or higher). Compilation on Windows requires RTools >= 3.4.
In R, to install the latest stable version, install from CRAN:
To install the latest development version, install from GitHub. Note that this will require RTools to be installed.
Cyclops is licensed under Apache License 2.0. Cyclops contains the TinyThread libray.
The TinyThread library is licensed under the zlib/libpng license as described here.
Cyclops is being developed in R Studio.
- This project is supported in part through the National Science Foundation grants IIS 1251151 and DMS 1264153.