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

Although a bit late but I can only encourage dickoa's suggestion to generate a sparse model matrix using the Matrix package and then feeding this to the speedglm.wfit function. That works great ;-) This way, I was able to run a logistic regression on a 1e6 x 3500 model matrix in less than 3 minutes.