slm {SparseM}R Documentation

Fit a linear regression model using sparse matrix algebra


This is a function to illustrate the use of sparse linear algebra to solve a linear least squares problem using Cholesky decomposition. The syntax and output attempt to emulate lm() but may fail to do so fully satisfactorily. Ideally, this would eventually become a method for lm. The main obstacle to this step is that it would be necessary to have a model.matrix function that returned an object in sparse csr form. For the present, the objects represented in the formula must be in dense form. If the user wishes to specify fitting with a design matrix that is already in sparse form, then the lower level function should be used.


slm(formula, data, weights, na.action, method = "csr", contrasts = NULL, ...)


formula a formula object, with the response on the left of a ~ operator, and the terms, separated by + operators, on the right. As in lm(), the response variable in the formula can be matrix valued.
data a data.frame in which to interpret the variables named in the formula, or in the subset and the weights argument. If this is missing, then the variables in the formula should be on the search list. This may also be a single number to handle some special cases – see below for details.
weights vector of observation weights; if supplied, the algorithm fits to minimize the sum of the weights multiplied into the absolute residuals. The length of weights must be the same as the number of observations. The weights must be nonnegative and it is strongly recommended that they be strictly positive, since zero weights are ambiguous.
na.action a function to filter missing data. This is applied to the model.frame after any subset argument has been used. The default (with is to create an error if any missing values are found. A possible alternative is na.omit, which deletes observations that contain one or more missing values.
method there is only one method based on Cholesky factorization
contrasts a list giving contrasts for some or all of the factors default = NULL appearing in the model formula. The elements of the list should have the same name as the variable and should be either a contrast matrix (specifically, any full-rank matrix with as many rows as there are levels in the factor), or else a function to compute such a matrix given the number of levels.
... additional arguments for the fitting routines


A list of class slm consisting of:

coefficients estimated coefficients
chol cholesky object from fitting
residuals residuals
fitted fitted values
terms terms
call call



Roger Koenker


Koenker, R and Ng, P. (2002). SparseM: A Sparse Matrix Package for R,

See Also

slm.methods for methods summary, print, fitted, residuals and coef associated with class slm, and for lower level fitting functions. The latter functions are of special interest if you would like to pass a sparse form of the design matrix directly to the fitting process.


X <- model.matrix(lsq) #extract the design matrix
y <- model.response(lsq) # extract the rhs
X1 <- as.matrix(X)
slm.time <- unix.time(slm(y~X1-1) -> slm.o) # pretty fast
lm.time <- unix.time(lm(y~X1-1) -> lm.o) # very slow
cat("slm time =",slm.time,"\n")
cat("slm Results: Reported Coefficients Truncated to 5  ","\n")
sum.slm <- summary(slm.o)
sum.slm$coef <- sum.slm$coef[1:5,]
cat("lm time =",lm.time,"\n")
cat("lm Results: Reported Coefficients Truncated to 5  ","\n")
sum.lm <- summary(lm.o)
sum.lm$coef <- sum.lm$coef[1:5,]

[Package SparseM version 0.54 Index]