glmnet

swMATH8159CRANglmnetMaRDI QIDQ20169

Lasso and Elastic-Net Regularized Generalized Linear Models

Rob Tibshirani, Trevor Hastie, Jerome Friedman, Noah Simon, James Yang, Kenneth Tay, Balasubramanian Narasimhan

Last update: 22 August 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 4.1-7, 1.1-1, 1.1-2, 1.1-3, 1.1-4, 1.1-5, 1.1, 1.2, 1.3, 1.4, 1.5.1, 1.5.2, 1.5.3, 1.5, 1.6, 1.7.1, 1.7.3, 1.7.4, 1.7, 1.8-2, 1.8-4, 1.8-5, 1.8, 1.9-1, 1.9-3, 1.9-5, 1.9-8, 2.0-1, 2.0-2, 2.0-3, 2.0-4, 2.0-5, 2.0-8, 2.0-9, 2.0-10, 2.0-12, 2.0-13, 2.0-16, 2.0-18, 3.0-1, 3.0-2, 3.0, 4.0-2, 4.0, 4.1-1, 4.1-2, 4.1-3, 4.1-4, 4.1-6, 4.1, 4.1-8

Source code repository: https://github.com/cran/glmnet

Description

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.

Cites work

• Regularization Paths for Generalized Linear Models via Coordinate Descent
• Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent
• Elastic Net Regularization Paths for All Generalized Linear Models

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