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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.
Getting started
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Package details |
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| Author | Trevor Hastie [aut, cre], Rahul Mazumder [aut], Jerome Friedman [aut] |
| Maintainer | Trevor Hastie <hastie@stanford.edu> |
| License | GPL-2 |
| Version | 1.7 |
| URL | https://hastie.su.domains/public/Papers/Sparsenet/Mazumder-SparseNetCoordinateDescent-2011.pdf |
| Package repository | View on CRAN |
| Installation |
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