quadrupen

CRANquadrupenMaRDI QIDQ81123FDOQ81123

Sparsity by Worst-Case Quadratic Penalties

Julien Chiquet

Last update: 18 December 2023

Copyright license: GNU General Public License

Software version identifier: 0.2-10, 0.1-0, 0.2-0, 0.2-1, 0.2-2, 0.2-3, 0.2-4, 0.2-5, 0.2-6, 0.2-7, 0.2-8, 0.2-9, 0.2-11

Description

Fits classical sparse regression models with efficient active set algorithms by solving quadratic problems as described by Grandvalet, Chiquet and Ambroise (2017) <arXiv:1210.2077>. Also provides a few methods for model selection purpose (cross-validation, stability selection).

Cites work

• Sparsity by Worst-Case Penalties

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