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Showing content from http://cran.rstudio.com/web/packages/Rcpp/../RcppDynProg/../Rcpp/../cdcsis/readme/README.html below:

README

install.packages("cdcsis")

This is a basic example which shows you how to pick out the important feature from high-dimensional dataset:

library(cdcsis)
set.seed(1)
num <- 100
p <- 1000
x <- matrix(rnorm(num * p), nrow = num, ncol = p)
z <- rnorm(num)
y <- 3*x[, 1] + 1.5*x[, 2] + 4*z*x[, 5] + rnorm(num)
res <- cdcsis(x, y, z)
head(res[["ix"]], n = 10)

cdcsis function successfully selects the informative variables from 1000 features pool.

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