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ndarray-glm-0.0.12
ndarray-glm
Rust library for solving linear, logistic, and generalized linear models through
iteratively reweighted least squares, using the ndarray-linalg
module.
Status
This package is in early alpha and the interface is likely to undergo many changes.
Prerequisites
fortran and BLAS must be installed:
sudo apt update && sudo apt install gfortran libblas-dev
To use the OpenBLAS backend, install also libopenblas-dev
and use this crate with the "openblas-src" feature.
Features
- Linear regression
- Logistic regression
- Generalized linear model IRLS
- L2 Regularization
- Generic over floating point type
- Implement other models
- Poisson
- Exponential
- Gamma
- Inverse Gaussian
- ...
TODO
- Linear offsets
- Allow non-float domain types (use mapping function from domain for floating-point type)
- Weighted regressions
- Weight solve matrix
- likelihood functions
- tolerance for termination
- Other regularization options
- Separate scaling for constant term
- Non-canonical link functions
- Unit tests for correct convergence with linear offsets