large-scale regression in R with a sparse feature matrix

Question

I\'d like to do large-scale regression (linear/logistic) in R with many (e.g. 100k) features, where each example is relatively sparse in the feature space---e.g., ~1k non-ze

Answer 1

You might also get some mileage by looking here:

• The biglm package.
• The High Performance and Parallel Computing R task view.
• A paper about Sparse Model Matrices for Generalized Linear Models (PDF), by Martin Machler and Douglas Bates from UseR 2010.