en_cd_options

Use Coordinate Descent to Solve Elastic Net Problems

Robust penalized (adaptive) elastic net S and M estimators for
linear regression. The adaptive methods are proposed in
Kepplinger, D. (2023) <doi:10.1016/j.csda.2023.107730> and the
non-adaptive methods in
Cohen Freue, G. V., Kepplinger, D., Salibián-Barrera, M., and Smucler, E.
(2019) <doi:10.1214/19-AOAS1269>.
The package implements robust hyper-parameter selection with robust
information sharing cross-validation according to Kepplinger & Wei (2025)
<doi:10.1080/00401706.2025.2540970>.

David Kepplinger

pense

Penalized Elastic Net S/MM-Estimator of Regression

Matías Salibián-Barrera

Gabriela Cohen Freue

en_cd_options function

<dl><dt>max_it</dt>
<dd>maximum number of iterations.</dd>
<dt>reset_it</dt>
<dd>number of iterations after which the residuals are
re-computed from scratch, to prevent numerical drifts from incremental
updates.</dd></dl>

Arguments

Use Coordinate Descent to Solve Elastic Net Problems — en_cd_options

<dl>

<dt>max_it</dt>
<dd>maximum number of iterations.</dd>


<dt>reset_it</dt>
<dd>number of iterations after which the residuals are
re-computed from scratch, to prevent numerical drifts from incremental
updates.</dd>

</dl>

en_cd_options: Use Coordinate Descent to Solve Elastic Net Problems

Description

Usage

Arguments

See Also