elnet_coord: Title

In sdeng24/statscomputing:

Description

Solve the an elastic net problem via coordinate descent

Usage

elnet_coord(X, y, lambda = NULL, nlambda = 100, alpha,
  thresh = 1e-05, maxiter = 10000)

Arguments

X	input matrix, of dimension nobs x nvars; each row is an observation vector
y	response variable
lambda	default is null
nlambda	The number oflambda values - default is 100
alpha	The elasticnet mixing paramete
thresh	Convergence threshold for coordinate descent.
maxiter	the maximal number of iterations in each coordinate descent

Value

length(lambda)matrix of coefficients

Examples

n=50
p=20
beta<-c(2,0,-2,0,1,0,-1,0,rep(0,12))
X=matrix(rnorm(n*p),n,p)
Y<-X%*%beta+rnorm(n)
fit1<-elnet_coord(X,Y,alpha=0.3)
beta_cd<-t(as.matrix(fit1$beta))
pct <- rowSums(abs(beta_cd))
matplot(pct,beta_cd,type="l",lty=1,
       xlab="|beta|_1",ylab="Coefficients")
text(max(pct)+0.2,beta_cd[dim(beta_cd)[1],],1:p,col=1:p,cex=0.7)

sdeng24/statscomputing documentation built on June 5, 2019, 11:08 p.m.