fasterElasticNet: An Amazing Fast Way to Fit Elastic Net

Fit Elastic Net, Lasso, and Ridge regression and do cross-validation in a fast way. We build the algorithm based on Least Angle Regression by Bradley Efron, Trevor Hastie, Iain Johnstone, etc. (2004)(<doi:10.1214/009053604000000067 >) and some algorithms like Givens rotation and Forward/Back Substitution. In this way, many matrices to be computed are retained as triangular matrices which can eventually speed up the computation. The fitting algorithm for Elastic Net is written in C++ using Armadillo linear algebra library.

Package details

AuthorJingyi Ma [aut], Qiuhong Lai [ctb], Linyu Zuo [ctb, cre], Yi Yang [ctb], Meng Su [ctb], Zhen Yu [ctb], Gege Gao [ctb], Xiao Liu [ctb], Xueni Ruan [ctb], Xinyuan Yang [ctb], Yu Bai [ctb], Zhijun Liao [ctb]
MaintainerLinyu Zuo <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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fasterElasticNet documentation built on Aug. 11, 2018, 5:03 p.m.