glmnet (Q20169): Difference between revisions

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Extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models, Poisson regression, Cox model, multiple-response Gaussian, and the grouped multinomial regression; see <doi:10.18637/jss.v033.i01> and <doi:10.18637/jss.v039.i05>. There are two new and important additions. The family argument can be a GLM family object, which opens the door to any programmed family (<doi:10.18637/jss.v106.i01>). This comes with a modest computational cost, so when the built-in families suffice, they should be used instead. The other novelty is the relax option, which refits each of the active sets in the path unpenalized. The algorithm uses cyclical coordinate descent in a path-wise fashion, as described in the papers cited.
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Latest revision as of 15:29, 21 March 2024

Lasso and Elastic-Net Regularized Generalized Linear Models
Language Label Description Also known as
English
glmnet
Lasso and Elastic-Net Regularized Generalized Linear Models

    Statements

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    4.1-7
    23 March 2023
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    1.1-1
    27 June 2008
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    1.1-2
    23 December 2008
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    1.1-3
    24 January 2009
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    1.1-4
    18 December 2009
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    1.1-5
    31 January 2010
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    1.1
    2 June 2008
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    25 April 2010
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    16 June 2010
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    1.5.1
    19 November 2010
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    7 February 2011
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    4 November 2010
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    1.6
    24 April 2011
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    1.7.1
    23 September 2011
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    19 February 2012
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    27 April 2012
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    1.7
    15 June 2011
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    2 October 2012
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    27 December 2012
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    4 January 2013
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    1.8
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    10 February 2013
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    2 March 2013
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    4 August 2013
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    24 May 2014
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    2.0-1
    8 April 2015
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    12 April 2015
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    23 February 2016
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    13 March 2016
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    17 March 2016
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    30 April 2017
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    2 May 2017
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    6 May 2017
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    13 September 2017
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    22 September 2017
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    2 April 2018
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    2.0-18
    20 May 2019
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    3.0-1
    15 November 2019
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    11 December 2019
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    3.0
    9 November 2019
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    16 June 2020
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    14 May 2020
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    4.1-1
    21 February 2021
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    24 June 2021
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    2 November 2021
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    15 April 2022
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    27 November 2022
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    4.1
    11 January 2021
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    22 August 2023
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    22 August 2023
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    Extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models, Poisson regression, Cox model, multiple-response Gaussian, and the grouped multinomial regression; see <doi:10.18637/jss.v033.i01> and <doi:10.18637/jss.v039.i05>. There are two new and important additions. The family argument can be a GLM family object, which opens the door to any programmed family (<doi:10.18637/jss.v106.i01>). This comes with a modest computational cost, so when the built-in families suffice, they should be used instead. The other novelty is the relax option, which refits each of the active sets in the path unpenalized. The algorithm uses cyclical coordinate descent in a path-wise fashion, as described in the papers cited.
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