Re: [ojAlgo-user] Logistic Regression with Standard Errors
Mathematics, linear algebra and optimisation
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From: Anders P. <an...@op...> - 2018-09-27 19:55:43
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That’s not ojAlgo code… No, ojAlgo currently does not have BFGS and such. > On 27 Sep 2018, at 21:40, Shantanu Lodh via ojAlgo-user <oja...@li...> wrote: > > What I've tried so far is here: https://www.pastiebin.com/5bad3003800a4 > > This takes 4.5 secs to train a 4150 sample dataset with 2 regressors + 1 intercept, Python::statsmodels takes c.0.5 secs for the same. > > I've not done rigorous profiling but suspect the delay is due to calculating and inverting Hessians. > > Are there any quasi-Newton optimizations available on oj such as DFP, L-BFGS etc? Sorry if I've missed it already since I've just started looking at it. Thanks, Shan > From: Anders Peterson <an...@op...> > Sent: Thursday, September 27, 2018 6:58 PM > To: Shantanu Lodh > Cc: oja...@li... > Subject: Re: [ojAlgo-user] Logistic Regression with Standard Errors > > There is no specific code for logistic regression in ojAlgo. > > What did you try, and why is it slow? > > > > On 27 Sep 2018, at 19:44, Shantanu Lodh via ojAlgo-user <oja...@li...> wrote: > > > > I'd like to run a logistic regression and in addition to the coefficients it's important for me to get the standard errors to calculate t-stats, etc. Is there an efficient way to do this with oj? I tried to do it by 'hand' but v slow. Thanks > > _______________________________________________ > > ojAlgo-user mailing list > > ojA...@li... > > https://eur01.safelinks.protection.outlook.com/?url=https%3A%2F%2Flists.sourceforge.net%2Flists%2Flistinfo%2Fojalgo-user&data=02%7C01%7C%7C4e16ee6ee3e74498280b08d624ab4958%7C84df9e7fe9f640afb435aaaaaaaaaaaa%7C1%7C0%7C636736715429440591&sdata=AUbDha0S1Y62UwTdnkrahdXgupiGApKPNgRZVxLzxEI%3D&reserved=0 > > _______________________________________________ > ojAlgo-user mailing list > ojA...@li... > https://lists.sourceforge.net/lists/listinfo/ojalgo-user |