TRexSelector 2.0.0

The package is rewritten as R bindings to the TRexSelector C++ library. The pure-R implementation of 1.0.0 and its dependencies (tlars, MASS, glmnet, boot, parallel, doParallel, foreach, doRNG) are gone.

Breaking changes

• The functional interface of 1.0.0 (trex(), FDP(), TPP(), add_dummies_GVS() and the other helpers) is replaced by R6 classes and control lists: TRexSelector$new(X, y, tFDR, control = trex_control(...))$select(), with trex_fdp() and trex_tpp() as the metrics.
• R 4.3 or newer and a C++20 compiler are required. OpenMP is optional.

New

• Selector variants as R6 classes: TRexDASelector (dependency-aware), TRexGVSSelector (grouped variable selection with the elastic net and the informed elastic net), TRexScreeningSelector and TRexBiobankScreeningSelector (screening), TRexSPCASelector (sparse PCA) and TRexTikhonovSelector (a general Tikhonov penalty).
• The twenty terminating solvers as classes of their own (TLARS_Solver, TLASSO_Solver, …) with tsolver_options(), working on the caller’s matrices without copying.
• Machine learning utilities: scalers, ridge and elastic-net regression with cross-validation, SVD, PCA and hierarchical clustering (the ML* classes and ml_* functions).
• Memory-mapped matrices (mem_matrix(), mem_matrix_from()), accepted everywhere a matrix is.
• Twelve vignettes, and citation("TRexSelector") lists the package entry with the method papers.