sparsenet: Fit Sparse Linear Regression Models via Nonconvex Optimization

Efficient procedure for fitting regularization paths between L1 and L0, using the MC+ penalty of Zhang, C.H. (2010)<doi:10.1214/09-AOS729>. Implements the methodology described in Mazumder, Friedman and Hastie (2011) <DOI: 10.1198/jasa.2011.tm09738>. Sparsenet computes the regularization surface over both the family parameter and the tuning parameter by coordinate descent.

Package details

AuthorRahul Mazumder [aut, cre], Trevor Hastie [aut, cre], Jerome Friedman [aut, cre]
MaintainerTrevor Hastie <hastie@stanford.edu>
LicenseGPL-2
Version1.5
URL https://hastie.su.domains/public/Papers/Sparsenet/Mazumder-SparseNetCoordinateDescent-2011.pdf
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("sparsenet")

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sparsenet documentation built on Aug. 22, 2023, 9:11 a.m.