[R] multinom(nnet) analogy for biglm package?

[Yeh, Richard C]

I would like to perform a multinomial logistic regression on a large
data set, but do not know how.  I've only thought of a few possibilities
and write to seek advice and guidance on them or deepening or expanding
my search.

On smaller data sets, I have successfully loaded the data and issued
commands such as:

length(levels(factor(data$response)))
[1] 6		# implies polychotomy
library(nnet)
result <- multinom(data$response ~ 1 + data$var1 + data$var2 + ...)
# (I am interested in at most ten 
# parameters; usually less than six) 

For a 60-MB comma-separated-values text-format data file (with a few
hundred thousand records), object.size(data) returns roughly 86 MB.  Now
I am considering loading a 7-GB data file (with about 30 million
records).  (In the near future, I may be interested in loading a 50-GB
data file, but right now I am still trying things out on smaller sets.)
What should I do?

1. I recall some discussion from August 2006 about the use of the biglm
package.  (Subject: lean and mean lm/glm?)  This seems potentially very
useful, but it's not clear to me how to fit a multinomial response.  Can
I get bigglm to fit polychotomous data?

2. Earlier, I thought I ran across an example (perhaps in V&R's MASS4 or
Harrell's Regression Modeling Strategies) showing how to use glm and an
appropriate family specification to perform a multinomial logistic
regression, but now I cannot find the example.  This is what had to be
done before the multinom() function became available, and it still
works, but I need a reference or example --- can anyone point me to it?
I suspect part of my problem is that I do not understand the
documentation on 'family': I'm not sure what the 'object' argument is,
defined:

"object: the function family accesses the family objects which are
stored within objects created by modelling functions (e.g., glm)."

My impression is that glm() returns a glm object.  I'm not sure what to
write there.

If the example doesn't exist, my brain may have [wishfully] inserted the
"multinomial" into my memory.  It's clear that glm can be used for
[ordinary/binomial] logistic regression.

3. I have skimmed Chen & Ripley's papers on computing near the data, but
suspect that I will need to do quite a lot of work (read: careful
reading, hand holding, and development) to adapt their solution.

4. I have briefly browsed the documentation on setting larger memory
size flags, but suspect that that's not a scalable route.  My desktop
WinXP PC has 2 GB of RAM; a linux computer I prefer has 8 GB, and I
suspect both copies of R were compiled as 32-bit (but I don't know how
to verify this).

box$ uname -a
Linux box 2.4.21-32.0.1.ELsmp #1 SMP Tue May 17 17:52:23 EDT 2005 i686
i686 i386 GNU/Linux
box$ R --max-vsize='4G'
WARNING: --max-vsize=4G=4'M': too large and ignored

5. If all else fails, I can sample the data and check the sample for an
appropriate distribution.

Richard

212-933-3305 / richard.c.yeh at bankofamerica.com


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