We provide extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression (gaussian), multi-task gaussian, logistic and multinomial regression models (grouped or not), Poisson regression and the Cox model. The algorithm uses cyclical coordinate descent in a path-wise fashion. Details may be found in Friedman, Hastie, and Tibshirani (2010), Simon et al. (2011), Tibshirani et al. (2012), Simon, Friedman, and Hastie (2013).
Version 3.0 is a major release with several new features, including:
cv.glmnet
, as
well as confusion matrices and ROC plots for classification models;x
input matrix for glmnet
that allow
for one-hot-encoding of factor variables, appropriate treatment of
missing values, and an option to create a sparse matrix if
appropriate.glmnet
.Version 4.0 is a major release that allows for any GLM family, besides the built-in families.
Version 4.1 is a major release that expands the scope for survival
modeling, allowing for (start, stop) data, strata, and sparse X inputs.
It also provides a much-requested method for survival:survfit
.
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