Best Subset Selection in Linear, Logistic and CoxPH Models

An implementation of best subset selection in generalized linear model and Cox proportional hazard model via the primal dual active set algorithm proposed by Wen, C., Zhang, A., Quan, S. and Wang, X. (2020) . The algorithm formulates coefficient parameters and residuals as primal and dual variables and utilizes efficient active set selection strategies based on the complementarity of the primal and dual variables.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


2.0.3 by Canhong Wen, 9 months ago

Browse source code at

Authors: Canhong Wen [aut, cre] , Aijun Zhang [aut] , Shijie Quan [aut] , Xueqin Wang [aut]

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp, Matrix, glmnet, survival

Linking to Rcpp, RcppEigen

Suggested by FRESA.CAD.

See at CRAN