[R] building a formula for glm() with 30,000 independent variables

[Kenneth Cabrera]

Just a silly question:
If you have 30.000 independent variables, how many records do you have?

Have you consider projection pursuit?

Best regards


Ben Liblit wrote:

> I would like to use R to perform a logistic regression with about
> 30,000 independent variables.  That's right, thirty thousand.  Most
> will be irrelevant: the intent is to use the regression to identify
> the few that actually matter.
>
> Among other things, this calls for giving glm() a colossal "y ~ ..."
> formula with thirty thousand summed terms on its right hand side.  I
> build up the formula as a string and then call as.formula() to convert
> it.  Unfortunately, the conversion fails.  The parser reports that it
> has overflowed its stack.  :-(
>
> Is there any way to pull this off in R?  Can anyone suggest
> alternatives to glm() or to R itself that might be capable of handling
> a problem of this size?  Or am I insane to even be considering an
> analysis like this?
>
> Thanks!
>
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-- 
Kenneth Roy Cabrera Torres
Celular +57 (315) 405 9339



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