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.
|Author||Jingyi 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]|
|Maintainer||Linyu Zuo <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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