yanxht/rare: Linear Model with Tree-Based Lasso Regularization for Rare Features

Implementation of an alternating direction method of multipliers algorithm for fitting a linear model with tree-based lasso regularization, which is proposed in Algorithm 1 of Yan and Bien (2018) <arXiv:1803.06675>. The package allows efficient model fitting on the entire 2-dimensional regularization path for large datasets. The complete set of functions also makes the entire process of tuning regularization parameters and visualizing results hassle-free.

install.packages("remotes")
remotes::install_github("yanxht/rare")