Statistical Learning on Sparse Matrices

Implements many algorithms for statistical learning on sparse matrices - matrix factorizations, matrix completion, elastic net regressions, factorization machines. Also 'rsparse' enhances 'Matrix' package by providing methods for multithreaded matrix products and native slicing of the sparse matrices in Compressed Sparse Row (CSR) format. List of the algorithms for regression problems: 1) Elastic Net regression via Follow The Proximally-Regularized Leader (FTRL) Stochastic Gradient Descent (SGD), as per McMahan et al(, ) 2) Factorization Machines via SGD, as per Rendle (2010, ) List of algorithms for matrix factorization and matrix completion: 1) Weighted Regularized Matrix Factorization (WRMF) via Alternating Least Squares (ALS) - paper by Hu, Koren, Volinsky (2008, ) 2) Maximum-Margin Matrix Factorization via ALS, paper by Rennie, Srebro (2005, ) 3) Fast Truncated Singular Value Decomposition (SVD), Soft-Thresholded SVD, Soft-Impute matrix completion via ALS - paper by Hastie, Mazumder et al. (2014, ) 4) Linear-Flow matrix factorization, from 'Practical linear models for large-scale one-class collaborative filtering' by Sedhain, Bui, Kawale et al (2016, ISBN:978-1-57735-770-4) 5) GlobalVectors (GloVe) matrix factorization via SGD, paper by Pennington, Socher, Manning (2014, <>) Package is reasonably fast and memory efficient - it allows to work with large datasets - millions of rows and millions of columns. This is particularly useful for practitioners working on recommender systems.


Reference manual

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install.packages("rsparse") by Dmitriy Selivanov, 10 days ago

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Browse source code at

Authors: Dmitriy Selivanov [aut, cre, cph] , Drew Schmidt [ctb] (configure script for BLAS , LAPACK detection) , Wei-Chen Chen [ctb] (configure script and work on linking to float package)

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Matrix, Rcpp, mlapi, data.table, float, RhpcBLASctl, lgr

Depends on methods

Suggests testthat, covr

Linking to Rcpp, RcppArmadillo

See at CRAN