Linear Model with Tree-Based Lasso Regularization for Rare
Features
Description
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) .
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.