ndarray-glm

Rust library for solving linear, logistic, and generalized linear models through iteratively reweighted least squares, using the ndarray-linalg module.

Status

This package is in early alpha and the interface is likely to undergo many changes.

Prerequisites

fortran and BLAS must be installed: sudo apt update && sudo apt install gfortran libblas-dev

To use the OpenBLAS backend, install also libopenblas-dev and use this crate with the "openblas-src" feature.

Features

• [X] Linear regression
• [X] Logistic regression
• [X] Generalized linear model IRLS
• [X] L2 Regularization
• [X] Generic over floating point type
• [ ] Implement other models
  • [X] Poisson
  • [ ] Exponential
  • [ ] Gamma
  • [ ] Inverse Gaussian
  • [ ] ...

TODO

• [X] Linear offsets
• [X] Allow non-float domain types (use mapping function from domain for floating-point type)
• [ ] Weighted regressions
  • [ ] Weight solve matrix
  • [ ] likelihood functions
  • [ ] tolerance for termination
• [ ] Other regularization options
  • [ ] Separate scaling for constant term
• [ ] Non-canonical link functions
• [ ] Unit tests for correct convergence with linear offsets