Generalized Additive Models for Gigadata: Modeling the U.K. Black Smoke Network Daily Data
海量数据的广义加性模型:英国黑烟监测网日度数据建模
We develop scalable methods for fitting penalized regression spline based generalized additive models with of the order of 104 coefficients to up to 108 data. Computational feasibility rests on: (i) a new iteration scheme for estimation of model coefficients and smoothing parameters, avoiding poorly scaling matrix operations; (ii) parallelization of the iteration’s pivoted block Cholesky and basic matrix operations; (iii) the marginal discretization of model covariates to…