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

[Thomas Lumley]

On Sun, 10 Nov 2002, 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?

You could call glm.fit directly. It takes a design matrix rather than a
formula.

You'll still have some trouble with inverting the 30,000x30,000
information matrix, and of course it will be singular if you don't have
30,000 observations.

Since there are 2^30000 possible submodels, finding the good ones isn't
going to be easy either.  My guess is that you want to do something else,
but I don't know what.


	-thomas

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