HDIM is a toolkit for working with high-dimensional data that emphasizes speed and statistical guarantees. Specifically, it provides tools for working with the LASSO objective function.

HDIM provides iterative solvers for the LASSO objective function including ISTA, FISTA and Coordinate Descent. HDIM also provides FOS, the Fast and Optimal Selection algorithm, a novel new method for variable selection.

HDIM is a product of the research conducted by Lederer and Hauser HDIM Group.

The HDIM package is written in C++, and can be used in native form or via Python or R language wrappers.

HDIM currently supports the following operating systems and languages.

HDIM's native code base is cross-platform and header-only. There is no installation step -- just clone the git repository and #include the appropriate source files in your C++ projects. Just be sure to link against the appropriate dependencies, as outlined in the Dependencies section below.

HDIM's native code base depends on the following libraries.

• Eigen3

These libraries will need to be installed in order to use the native C++ or any of the wrappers.

Using the Python or R wrapper requires additional dependencies and build steps compared to using the native code base. Currently both wrappers require building from source -- in the future we hope to provide users with more convenient installation options.

Visit the HDIM-R repository for installation instructions for the HDIM R wrapper.

Visit the HDIM-Py repository for installation instructions for the HDIM Python wrapper.

The HDIM package is licensed under the MIT license. To view the MIT license please consult LICENSE.txt.

• Benjamin J Phillips - Work on native C++, R wrapper, and Python wrapper
• Saba Noorassa - Work on adding Mac OS compatibility

FOS