TaddyLab/gamlr: Gamma Lasso Regression

The gamma lasso algorithm provides regularization paths corresponding to a range of non-convex cost functions between L0 and L1 norms. As much as possible, usage for this package is analogous to that for the glmnet package (which does the same thing for penalization between L1 and L2 norms). For details see: Taddy (2017 JCGS), One-Step Estimator Paths for Concave Regularization, <arXiv:1308.5623>.

Getting started

Package details

AuthorMatt Taddy <[email protected]>
MaintainerMatt Taddy <[email protected]>
URL http://github.com/TaddyLab/gamlr
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
TaddyLab/gamlr documentation built on Feb. 13, 2018, 6:46 a.m.