elnet_coord: elnet coord

In shihhowie/hw2:

Description

Use coordinate descent on elastic net

Usage

elnet_coord(x, y, lambda, alpha, iter)

Arguments

x	design matrix
y	target vector
lambda	penalty weight
alpha	distribution of penalty
iter	number of iterations

Examples

library(MASS)
n=50
p=10
beta = c(2,0,-2,0,1,0,-1,0,0,0)
sigma = diag(1,p,p)
sigma[1,2]=0.8
sigma[2,1]=0.8
sigma[5,6]=0.8
sigma[6,5]=0.8
x = mvrnorm(n, mu=rep(0,p),Sigma=sigma)
y = x%*%beta + rnorm(n,0,1)
elnet_coord(x,y, 4, 0.5, 20)

shihhowie/hw2 documentation built on May 21, 2019, 12:35 a.m.