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sparsenet: Fit sparse linear regression models via nonconvex optimization
Sparsenet uses the MC+ penalty of Zhang. It computes the regularization surface over both the family parameter and the tuning parameter by coordinate descent.
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Package details |
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| Author | Rahul Mazumder, Trevor Hastie, Jerome Friedman |
| Maintainer | Trevor Hastie <[email protected]> |
| License | GPL-2 |
| Version | 1.2 |
| URL | http://www.stanford.edu/~hastie/Papers/Sparsenet/jasa_MFH_final.pdf |
| Package repository | View on CRAN |
| Installation |
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