sparsenet
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Software:30963
swMATH19133WikidataQ114077455CRANsparsenetMaRDI QIDQ30963
Fit Sparse Linear Regression Models via Nonconvex Optimization
Jerome H. Friedman, Trevor Hastie, Rahul Mazumder
Last update: 5 February 2024
Copyright license: GNU General Public License, version 2.0
Software version identifier: 1.4, 1.0, 1.1, 1.2, 1.3, 1.5, 1.6
Source code repository: https://github.com/cran/sparsenet
Efficient procedure for fitting regularization paths between L1 and L0, using the MC+ penalty of Zhang, C.H. (2010)<doi:10.1214/09-AOS729>. Implements the methodology described in Mazumder, Friedman and Hastie (2011) <doi:10.1198/jasa.2011.tm09738>. Sparsenet computes the regularization surface over both the family parameter and the tuning parameter by coordinate descent.
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