glmtlp-package

<p>This package fits truncated lasso based model paths for regression, logistic and multinomial regression using difference convex technique and coordinate descent. The algorithm is extremely fast, and exploits sparsity in the input x matrix where it exists. A variety of predictions can be made from the fitted models.</p>

models

regression

 package

It provides an extremely efficient procedure for fitting the entire truncated lasso regularization path for linear regression, logistic and multinomial regression models, Poisson regression and the Cox model. The algorithm uses the difference of convex technique. The detail of the algorithm is described in Shen, Pan and Zhu (2012) <doi:10.1080/01621459.2011.645783>. The package is inherited from a popular R package 'glmnet' and many functions in 'glmnet' can be directly used in 'glmtlp'. You can learn more details by the online manual (<http://wuchong.org/glmtlp.html>).

Chong Wu

glmtlp

Truncated Lasso Regularized Generalized Linear Models

glmtlp-package function

Truncated lasso model paths for some generalized linear models — glmtlp-package

Truncated lasso model paths for some generalized linear models

Package:	glmtlp
Type:	Package
Version:	1.1
Date:	2018-02-01
License:	GPL-2

glmtlp-package: Truncated lasso model paths for some generalized linear models

Description

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Details

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