bozenne/lava.penalty: Penalized Latent Variable Models

Implementation of regularization tools for latent variables models. Available penalty are lasso, ridge, group lasso and nuclear norm regularization (linear model only). A generic regularization path algorithm enable to estimate the knots, i.e. penalisation at which the set of non-zero parameters changes. Information criteria (AIC, BIC) can be used to identify an "optimal" penalization value.

Getting started

Package details

AuthorBrice Ozenne[aut, cre]
Maintainerbrice ozenne <[email protected]>
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
bozenne/lava.penalty documentation built on May 13, 2019, 1:41 a.m.