sparsenet (Q30963)
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Fit Sparse Linear Regression Models via Nonconvex Optimization
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | sparsenet |
Fit Sparse Linear Regression Models via Nonconvex Optimization |
Statements
5 February 2024
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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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