[R] Questions about biglm

Greg Snow Greg.Snow at imail.org
Thu Feb 19 17:34:56 CET 2009

The idea of the biglm function is to only have part of the data in memory at a time.  You read in part of the data and run biglm on that section of the data, then delete it from memory, load in the next part of the data and use update to include the new data in the analysis, delete that, read in the next group, run update, and repeat until you have processed all the data.  The result will then be the same as if you ran lm on the entire dataset (possible slight differences due to rounding).  The bigglm function or code from other packages (SQLiteDF for one) can automate this a bit more.

The code for VIF below uses the model.matrix command, this returns the x matrix for the analysis when used with an lm object. Since biglm is based on the idea of not having all the data in memory at once, I would be very surprised if model.matrix worked with biglm objects, so that code is unlikely to work as is.

One approach is to do VIF and other diagnostics on a subset of the data (random sample, stratified random sample) that fits easily into memory, then after making decisions about the model based on the diagnostics, run the final model with biglm to get the precise results using the full data set.  You can do the diagnostics on a couple different random subsets to confirm the decisions made.

Hope this helps,

Gregory (Greg) L. Snow Ph.D.
Statistical Data Center
Intermountain Healthcare
greg.snow at imail.org

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-
> project.org] On Behalf Of dobomode
> Sent: Wednesday, February 18, 2009 9:34 PM
> To: r-help at r-project.org
> Subject: [R] Questions about biglm
> Hello folks,
> I am very excited to have discovered R and have been exploring its
> capabilities. R's regression models are of great interest to me as my
> company is in the business of running thousands of linear regressions
> on large datasets.
> I am using biglm to run linear regressions on datasets that are as
> large as several GB's. I have been pleasantly surprised that biglm
> runs the regressions extremely fast (one regression may take minutes
> in SPSS vs seconds in R).
> I have been trying to wrap my head around biglm and have a couple of
> questions.
> 1. How can I get VIF's (Variance Inflation Factors) using biglm? I was
> able to get VIF's from the regular lm function using this piece of
> code I found through Google, but have not been able to adapt it to
> work with biglm. Hasn't anyone been successful in this?
> vif.lm <- function(object, ...) {
>   V <- summary(object)$cov.unscaled
>   Vi <- crossprod(model.matrix(object))
>         nam <- names(coef(object))
>   if(k <- match("(Intercept)", nam, nomatch = F)) {
>                 v1 <- diag(V)[-k]
>                 v2 <- (diag(Vi)[-k] - Vi[k, -k]^2/Vi[k,k])
>                 nam <- nam[-k]
>         } else {
>                 v1 <- diag(V)
>                 v2 <- diag(Vi)
>                 warning("No intercept term detected. Results may
> surprise.")
>         }
>         structure(v1*v2, names = nam)
> }
> 2. How reliable / stable is biglm's update() function? I was
> experimenting with running regressions on individual chunks of my
> large dataset, but the coefficients I got were different compared to
> those obtained form running biglm on the whole dataset. Am I mistaken
> when I say that update() is intended to run regressions in chunks
> (when memory becomes an issue with datasets that are too large) and
> produce identical results to running a single regression on the
> dataset as a whole?
> Thanks!
> Dobo
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