PICASSO: PathwIse CAlibrated Sparse Shooting algOrithm

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Description

This package provides computationally efficient tools for fitting generalized linear model with convex and non-convex penalty. Users can enjoy the superior statistical property of non-convex penalty such as SCAD and MCP which has significantly less estimation error and overfitting compared to convex penalty such as l1 and ridge. Computation is handled by multi-stage convex relaxation and the PathwIse CAlibrated Sparse Shooting algOrithm (PICASSO) which exploits warm start initialization, active set updating, and strong rule for coordinate preselection to boost computation, and attains a linear convergence to a unique sparse local optimum with optimal statistical properties. The computation is memory-optimized using the sparse matrix output.

Details

Package: picasso
Type: Package
Version: 0.5.4
Date: 2016-09-20
License: GPL-2

Author(s)

Jason Ge, Xingguo Li, Mengdi Wang, Tong Zhang, Han Liu and Tuo Zhao
Maintainer: Jason Ge <jiange@princeton.edu>

See Also

picasso.