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. (2017) . 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.


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install.packages("BeSS")

1.0.6 by Canhong Wen, a month ago


Browse source code at https://github.com/cran/BeSS


Authors: Canhong Wen , Aijun Zhang , Shijie Quan , Xueqin Wang


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, Matrix, glmnet, survival

Linking to Rcpp, RcppEigen


See at CRAN