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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 ORCID iD [aut, cre], Davide Risso ORCID iD [ctb], Alexandre Segers ORCID iD [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: sgdGMF_1.0.zip, 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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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.