quadrupen: Sparsity by Worst-Case Quadratic Penalties

Fits classical sparse regression models with efficient active set algorithms by solving quadratic problems as described by Grandvalet, Chiquet and Ambroise (2017) <arXiv:1210.2077>. Also provides a few methods for model selection purpose (cross-validation, stability selection).

Package details

AuthorJulien Chiquet [aut, cre] (<https://orcid.org/0000-0002-3629-3429>)
MaintainerJulien Chiquet <julien.chiquet@inrae.fr>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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quadrupen documentation built on Nov. 18, 2020, 9:06 a.m.