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ProxReg: Linear Models for Prediction and Classification using Proximal Operators
Implements optimization techniques for Lasso regression, R.Tibshirani(1996)<doi:10.1111/j.2517-6161.1996.tb02080.x> using Fast Iterative Shrinkage-Thresholding Algorithm (FISTA) and Iterative Shrinkage-Thresholding Algorithm (ISTA) based on proximal operators, A.Beck(2009)<doi:10.1137/080716542>. The package is useful for high-dimensional regression problems and includes cross-validation procedures to select optimal penalty parameters.
Getting started
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Package details |
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| Author | YingHong Chen [aut, cre] |
| Maintainer | YingHong Chen <yinghongchen1402@gmail.com> |
| License | MIT + file LICENSE |
| Version | 0.1.1 |
| Package repository | View on CRAN |
| Installation |
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