How to speed up GLM estimation?

Question

I am using RStudio 0.97.320 (R 2.15.3) on Amazon EC2. My data frame has 200k rows and 12 columns.

I am trying to fit a logistic regression with approximately 1500 p

Answer 1

You could try the speedglm function from the speedglm package. I haven't used it on problems as large as you describe, but especially if you install a BLAS library (as @Ben Bolker suggested in the comments) it should be easy to use and give you a nice speed bump.

I remember seeing a table benchmarking glm and speedglm, with and without an performance-tuned BLAS library, but I can't seem to find it today. I remember that it convinced me that I would want both.