sgdGMF: Estimation of Generalized Matrix Factorization Models via Stochastic Gradient Descent
Efficient framework to estimate high-dimensional generalized matrix factorization models using penalized maximum likelihood under a dispersion exponential family specification. Either deterministic and stochastic methods are implemented for the numerical maximization. In particular, the package implements the stochastic gradient descent algorithm with a block-wise mini-batch strategy to speed up the computations and an efficient adaptive learning rate schedule to stabilize the convergence. All the theoretical details can be found in Castiglione et al. (2024, <doi:10.48550/arXiv.2412.20509>). Other methods considered for the optimization are the alternated iterative re-weighted least squares and the quasi-Newton method with diagonal approximation of the Fisher information matrix discussed in Kidzinski et al. (2022, <http://jmlr.org/papers/v23/20-1104.html>).
| Version: | 1.0 |
| Depends: | R (≥ 4.0.0), ggplot2 |
| Imports: | Rcpp (≥ 1.0.10), RcppArmadillo, RSpectra, parallel, doParallel, foreach, MASS, SuppDists, methods, generics, reshape2, ggpubr, viridisLite |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat (≥ 3.0.0), Rtsne, dplyr, knitr, rmarkdown |
| Published: | 2025-02-13 |
| DOI: | 10.32614/CRAN.package.sgdGMF |
| Author: | Cristian Castiglione
 [aut, cre],
Davide Risso
[ctb],
Alexandre Segers
[ctb] |
| Maintainer: | Cristian Castiglione <cristian_castiglione at libero.it> |
| BugReports: | https://github.com/CristianCastiglione/sgdGMF/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/CristianCastiglione/sgdGMF |
| NeedsCompilation: | yes |
| Materials: | README |
| CRAN checks: | sgdGMF results |
Documentation:
| Reference manual: | sgdGMF.pdf |
| Vignettes: |
algorithms (source, R code) initialization (source, R code) introduction (source, R code) residuals (source, R code) |
Downloads:
| Package source: | sgdGMF_1.0.tar.gz |
| Windows binaries: | r-devel: sgdGMF_1.0.zip, r-release: not available, r-oldrel: sgdGMF_1.0.zip |
| macOS binaries: | r-devel (arm64): sgdGMF_1.0.tgz, r-release (arm64): sgdGMF_1.0.tgz, r-oldrel (arm64): sgdGMF_1.0.tgz, r-devel (x86_64): sgdGMF_1.0.tgz, r-release (x86_64): sgdGMF_1.0.tgz, r-oldrel (x86_64): sgdGMF_1.0.tgz |
Linking:
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