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arXiv · 1811.11733

orthoDr: Semiparametric Dimension Reduction via Orthogonality Constrained Optimization

Ruoqing Zhu·Jiyang Zhang·Ruilin Zhao·Peng Xu·Wenzhuo Zhou·Xin Zhang
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Abstract

orthoDr is a package in R that solves dimension reduction problems using orthogonality constrained optimization approach. The package serves as a unified framework for many regression and survival analysis dimension reduction models that utilize semiparametric estimating equations. The main computational machinery of orthoDr is a first-order algorithm developed by \cite{wen2013feasible} for optimization within the Stiefel manifold. We implement the algorithm through Rcpp and OpenMP for fast computation. In addition, we developed a general-purpose solver for such constrained problems with user-specified objective functions, which works as a drop-in version of optim(). The package also serves as a platform for future methodology developments along this line of work.

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Ruoqing Zhu, Jiyang Zhang, Ruilin Zhao, Peng Xu, Wenzhuo Zhou, Xin Zhang. 2019-07-04. orthoDr: Semiparametric Dimension Reduction via Orthogonality Constrained Optimization. https://arxiv.org/abs/1811.11733

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