pyAutoAdaptiveRobustRegression

Auto Adaptive Robust Regression Python Package

Description

This python package implements the Adaptive Gradient Descent, Adaptive Gradient Descent with Barzilai-Borwein Method and Adaptive Gradient Descent with Backtracking Method. It also includes the Huber Mean Estimation, Huber Covariance Matrix Estimation, Huber Regression and Adaptive Huber Regression from R library FarmTest, written by Xiaoou Pan.

Installation

This python package can be installed on Windows, Mac and Linux.

Install pyAutoAdaptiveRobustRegression with pip:

pip install pyAutoAdaptiveRobustRegression

Requirements on Linux and macOS

For Linux:

apt install armadillo openblas

For macOS:

brew install armadillo openblas

Functions

There are seven functions in this package:

• agd: Adaptive Gradient Descent
• agd_bb: Adaptive Gradient Descent with Barzilai-Borwein Method
• agd_backtracking: Adaptive Gradient Descent with Backtracking Method
• huber_mean: Huber Mean Estimation
• huber_cov: Huber Covariance Matrix Estimation
• huber_reg: Huber regression.
• ada_huber_reg: Adaptive Huber regression

License

MIT

Author(s)

Yichi Zhang yichi.zhang@worc.ox.ac.uk, Qiang Sun qiang.sun@utoronto.ca