# Overview of the ‘fastglm’ Package

#### Jared Huling

#### 2026-06-05

The fastglm package is intended as a fast and stable alternative to `stats::glm()` for fitting generalized linear models. It is compatible with `R`’s `family` objects (see `?family`) and produces fitted objects whose downstream methods (`summary()`, `vcov()`, `predict()`, `coef()`, `residuals()`, `logLik()`) behave exactly like those for a `glm`. This vignette walks through the main functionality of the package at a higher level than the other vignettes.

    library(fastglm)

# Fitting a GLM

The main package function is `fastglm()`. It takes a numeric design matrix `x`, a response `y`, and an `R` `family` object:

    data(esoph)
    x <- model.matrix(~ agegp + unclass(tobgp) + unclass(alcgp),
                      data = esoph)
    y <- cbind(esoph$ncases, esoph$ncontrols)

    fit <- fastglm(x, y, family = binomial(link = "cloglog"))
    summary(fit)
    #>
    #> Call:
    #> fastglm.default(x = x, y = y, family = binomial(link = "cloglog"))
    #>
    #> Coefficients:
    #>                Estimate Std. Error z value Pr(>|z|)
    #> (Intercept)    -4.29199    0.29777 -14.414  < 2e-16 ***
    #> agegp.L         3.30677    0.63454   5.211 1.88e-07 ***
    #> agegp.Q        -1.35525    0.57310  -2.365    0.018 *
    #> agegp.C         0.20296    0.43333   0.468    0.640
    #> agegp^4         0.15056    0.29318   0.514    0.608
    #> agegp^5        -0.23425    0.17855  -1.312    0.190
    #> unclass(tobgp)  0.33276    0.07285   4.568 4.93e-06 ***
    #> unclass(alcgp)  0.80384    0.07538  10.664  < 2e-16 ***
    #> ---
    #> Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
    #>
    #> (Dispersion parameter for binomial family taken to be 1)
    #>
    #>     Null deviance: 61.609  on 87  degrees of freedom
    #> Residual deviance: 96.950  on 80  degrees of freedom
    #> AIC: 228
    #>
    #> Number of Fisher Scoring iterations: 6

`fastglm()` does not accept a formula directly, it operates on a pre-built design matrix. To use a formula and a data frame, pass `fastglm_fit` as the fitting function to base `glm()`:

    fit2 <- glm(cbind(ncases, ncontrols) ~ agegp + unclass(tobgp) + unclass(alcgp),
                data = esoph, family = binomial(link = "cloglog"),
                method = fastglm_fit)

# Decomposition methods

The IRLS algorithm reduces every iteration to a weighted least-squares problem. fastglm supports six different matrix decompositions for solving that WLS step, all from RcppEigen (Bates and Eddelbuettel, 2013); the choice trades off speed against numerical stability and rank-revealing behavior:

`method` | decomposition
--- | ---
`0` | column-pivoted Householder QR (default; rank-revealing)
`1` | unpivoted Householder QR
`2` | LLT Cholesky
`3` | LDLT Cholesky
`4` | full-pivoted Householder QR
`5` | bidiagonal divide-and-conquer SVD

The default (`method = 0`) is the safe choice: it is rank-revealing, so it handles aliased / collinear columns gracefully. The Cholesky methods (`2` and `3`) are roughly 3–4× faster but assume full column rank.

    set.seed(123)
    n <- 5000; p <- 30
    x <- matrix(rnorm(n * p), n, p)
    y <- rbinom(n, 1, plogis(x %*% rnorm(p) * 0.05))

    system.time(f0 <- fastglm(x, y, family = binomial()))                 # default
    #>    user  system elapsed
    #>   0.005   0.000   0.005
    system.time(f2 <- fastglm(x, y, family = binomial(), method = 2))     # LLT
    #>    user  system elapsed
    #>   0.002   0.000   0.002
    system.time(f3 <- fastglm(x, y, family = binomial(), method = 3))     # LDLT
    #>    user  system elapsed
    #>   0.002   0.000   0.003

# Stability

fastglm does not compromise computational stability for speed. It uses a step-halving safeguard following Marschner (2011) and starts from better-initialized values than `glm()` or `glm2::glm2()`, so it tends to converge in cases where the standard IRLS algorithm fails. See `vignette("fastglm", package = "fastglm")` for a Gamma-with-`sqrt`-link example where `glm()` does not converge but `fastglm()` does.

# Inference: `vcov()`, robust SE, predictions

The fitted object stores the unscaled covariance directly (no refitting), and the standard `vcov()` / `summary()` machinery works as expected:

    fit <- fastglm(x, y, family = binomial(), method = 2)

    V    <- vcov(fit)
    dim(V)
    #> [1] 30 30

    ## standard errors agree with the diagonal of vcov()
    all.equal(sqrt(diag(V)), unname(coef(summary(fit))[, "Std. Error"]))
    #> [1] "names for target but not for current"

Heteroskedasticity-consistent and cluster-robust covariance matrices are available via `sandwich::vcovHC()` and `sandwich::vcovCL()` — `fastglm` registers methods on those generics, so loading `sandwich` is all that is required:

    library(sandwich)

    V_hc <- vcovHC(fit, type = "HC0")
    V_hc[1:3, 1:3]
    #>              X1           X2           X3
    #> X1 8.546454e-04 7.509395e-06 1.483571e-06
    #> X2 7.509395e-06 8.321108e-04 7.951566e-07
    #> X3 1.483571e-06 7.951566e-07 8.351855e-04

    cluster <- rep(seq_len(20), length.out = n)
    V_cl    <- vcovCL(fit, cluster = cluster, type = "HC1")
    V_cl[1:3, 1:3]
    #>               X1            X2           X3
    #> X1  0.0007676800 -3.021035e-04 1.517204e-04
    #> X2 -0.0003021035  8.060696e-04 8.492543e-05
    #> X3  0.0001517204  8.492543e-05 7.823621e-04

Results are numerically identical to `sandwich::vcovHC()` and `sandwich::vcovCL()` applied to a `glm` fit (Zeileis, Köll, and Graham, 2020) to floating-point precision. They work for sparse and `big.matrix` fits as well, since the full design matrix is preserved on the fitted object (as a reference, not copied).

`predict()` supports `se.fit = TRUE`:

    xnew <- x[1:5, , drop = FALSE]
    predict(fit, newdata = xnew, type = "response", se.fit = TRUE)
    #> $fit
    #> [1] 0.6087584 0.5272820 0.4245913 0.5494426 0.6192178
    #>
    #> $se.fit
    #> [1] 0.03919065 0.03095856 0.03623790 0.03629691 0.03512202
    #>
    #> $residual.scale
    #> [1] 1

# Sparse, big.matrix, and streaming designs

For designs that are sparse, that live on disc, or that have to be built from a parquet / arrow / DuckDB source, fastglm provides three large-data paths that share a common streaming kernel and produce identical results:

- `Matrix::dgCMatrix`: pass directly to `fastglm()`. Useful for one-hot encoded categoricals and high-dimensional sparse designs.
- `bigmemory::big.matrix`: pass directly to `fastglm()`. The matrix is read in row-blocks and never fully materialised in memory.
- `fastglm_streaming(chunk_callback, n_chunks, family)`: a user-supplied closure yields one row-block per call. The right path for fitting on a parquet dataset, DuckDB query, or any external columnar store.

See `vignette("large-data-fastglm", package = "fastglm")` for a detailed walk through all three paths. A short example:

    n <- 4000
    X <- cbind(1, matrix(rnorm(n * 3), n, 3))
    y <- rbinom(n, 1, plogis(X %*% c(0.2, 0.4, -0.2, 0.3)))

    chunk_size <- 1000
    chunks <- function(k) {
        idx <- ((k - 1) * chunk_size + 1):(k * chunk_size)
        list(X = X[idx, , drop = FALSE], y = y[idx])
    }

    fit_stream <- fastglm_streaming(chunks, n_chunks = 4, family = binomial())
    fit_full   <- fastglm(X, y, family = binomial(), method = 2)

    max(abs(coef(fit_stream) - coef(fit_full)))
    #> [1] 1.111683e-07

# Native families

For the most commonly-used `family`/`link` combinations, fastglm dispatches `variance()`, `mu.eta()`, `linkinv()`, and `dev.resids()` to inline C++ implementations rather than calling back into `R` once per IRLS iteration. The covered combinations are:

- gaussian (identity, log, inverse)
- binomial (logit, probit, cloglog, log)
- poisson (log, identity, sqrt)
- Gamma (log, inverse, identity)
- inverse.gaussian (1/mu^2, log, identity, inverse)

Detection is automatic, if the `family` object matches one of the above, the native path is used; otherwise fastglm falls back to the `R`-callback path used in earlier versions. The native path is meaningfully faster on large `n` because it eliminates the per-iteration round-trip to `R` for each of the four family functions:

    library(microbenchmark)

    set.seed(7)
    n <- 50000; p <- 30
    x <- matrix(rnorm(n * p), n, p)
    y <- rpois(n, exp(x %*% rnorm(p) * 0.05 + 1))

    ## force the R-callback path by giving the family object an unrecognized name
    disguise <- function(fam) { fam$family <- paste0(fam$family, "*"); fam }

    mb <- microbenchmark(
        native   = fastglm(x, y, family = poisson(),            method = 2),
        callback = fastglm(x, y, family = disguise(poisson()),  method = 2),
        times = 5L
    )
    print(mb)
    #> Unit: milliseconds
    #>      expr      min       lq     mean  median       uq      max neval cld
    #>    native 17.63775 18.34652 19.08638 18.5418 19.89201 21.01381     5  a
    #>  callback 23.84285 24.58134 25.66206 25.6127 26.66214 27.61125     5   b

The fastglm package switches transparently between the two paths; user code does not change.

# Negative binomial, hurdle, zero-inflation, and Firth logistic

A handful of regressions that come up often in practice are not standard GLMs but build on the same IRLS machinery. fastglm provides dedicated fitting functions for these:

- `fastglm_nb()` — negative-binomial regression with the dispersion `theta` estimated jointly with `beta`. Plays the same role as `MASS::glm.nb()` but runs the joint `(beta, theta)` MLE entirely in C++ (IRLS for `beta`, Brent for `theta`).
- `firth = TRUE` — a flag on `fastglm()` / `fastglm_fit()` that activates Firth’s bias-reducing penalty on the score. Useful for binary logistic regression under separation or in small samples; analogous to `logistf::logistf()`.
- `fastglm_hurdle()` — a two-part count model: a binary regression for whether `y > 0`, plus a zero-truncated Poisson or NB regression on the positive subset. The two parts factorize, and both are fit by the same C++ IRLS solver. Same model as `pscl::hurdle()`.
- `fastglm_zi()` — a zero-inflated Poisson or NB regression: a binary inflation component overlaid on the original count distribution, fit by an EM algorithm in C++ with closed-form posterior responsibilities and an analytical observed-information `vcov`. Same model as `pscl::zeroinfl()`.

All four take the standard fastglm tuning options (`method`, `tol`, `maxit`) and return objects with the usual `coef()`, `vcov()`, `predict()`, `logLik()` methods. `fastglm_hurdle()` and `fastglm_zi()` use the `Formula` package’s two-RHS syntax `y ~ x1 + x2 | z1 + z2` to specify different designs for the count and zero parts. See `vignette("count-firth-fastglm", package = "fastglm")` for examples and timing comparisons against the canonical reference packages.

# Three R entry points

There are three `R`-side functions to fit a GLM with fastglm. They all call into the same C++ solver, but differ in how much of base R’s machinery they wrap around it:

- `fastglm()` is the top-level S3 function. It returns an object of class `"fastglm"` with deviance, AIC, null deviance, residuals, etc. populated for interactive use.
- `fastglm_fit()` is designed to be passed as `method = fastglm_fit` to base `glm()`. The returned object inherits from `"fastglmFit"` so that `glm()`’s formula/data handling, `update()`, `predict()`, etc. all work on top.
- `fastglmPure()` is the lowest-level wrapper: no dispersion, no AIC, no null-deviance computation. Use this when calling fastglm from another package and you only need the coefficients.

# References

- Marschner, I. C. (2011). glm2: Fitting generalized linear models with convergence problems. The R Journal, 3(2), 12–15. doi:10.32614/RJ-2011-012

- Bates, D. and Eddelbuettel, D. (2013). Fast and elegant numerical linear algebra using the RcppEigen package. Journal of Statistical Software, 52(5), 1–24. doi:10.18637/jss.v052.i05

- Zeileis, A., Köll, S., and Graham, N. (2020). Various versatile variances: An object-oriented implementation of clustered covariances in R. Journal of Statistical Software, 95(1), 1–36. doi:10.18637/jss.v095.i01