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BrokenAdaptiveRidge: Broken Adaptive Ridge Regression with Cyclops
Approximates best-subset selection (L0) regression with an iteratively adaptive Ridge (L2) penalty for large-scale models. This package uses Cyclops for an efficient implementation and the iterative method is described in Kawaguchi et al (2020) <doi:10.1002/sim.8438> and Li et al (2021) <doi:10.1016/j.jspi.2020.12.001>.
Getting started
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Package details |
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| Author | Marc A. Suchard [aut, cre], Eric Kawaguchi [aut], Ning Li [aut], Gang Li [aut], Observational Health Data Sciences and Informatics [cph] |
| Maintainer | Marc A. Suchard <msuchard@ucla.edu> |
| License | Apache License 2.0 |
| Version | 1.0.1 |
| Package repository | View on CRAN |
| Installation |
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