casl_lenet: Compute linear elastic net using coordinate descent.

In Zebedial/bis557: The package created for BIS557 Homework 1

Description

Compute linear elastic net using coordinate descent.

Usage

casl_lenet(
  X,
  y,
  lambda,
  alpha = 1,
  b = matrix(0, nrow = ncol(X), ncol = 1),
  tol = 1e-05,
  maxit = 50L,
  W = rep(1, length(y))/length(y)
)

Arguments

X	A numeric data matrix.
y	Response vector.
lambda	The penalty term.
alpha	Value from 0 and 1; balance between l1/l2 penalty.
b	Current value of the regression vector.
tol	Numeric tolerance parameter.
maxit	Integer maximum number of iterations.
W	Vector of sample weights.

Value

Regression vector beta of length ncol(X).

Author(s)

Taylor Arnold, Michael Kane, Bryan Lewis.

References

Taylor Arnold, Michael Kane, and Bryan Lewis. A Computational Approach to Statistical Learning. Chapman & Hall/CRC Texts in Statistical Science, 2019.

Zebedial/bis557 documentation built on Dec. 21, 2020, 2:16 a.m.