Native elastic-net coordinate descent (shared core). Solves:
Usage
morie_penalized_regression(
x,
y,
alpha = 0.5,
lam = 1,
max_iter = 1000,
tol = 1e-06
)
Arguments
- x
(n x p) predictor matrix.
- y
Numeric response.
- alpha
0 (ridge) to 1 (LASSO).
- lam
Penalty strength.
- max_iter, tol
Convergence controls.
Value
list(estimate, beta, intercept, se, alpha, lam, n_iter, n, p, method).
Details
min 1/(2n) ||y - X beta||^2 + lam (alpha ||beta||_1 + (1-alpha)/2 ||beta||_2^2).
References
Friedman, Hastie & Tibshirani (2010); Montesinos Lopez Ch 6.
Examples
# See the package vignettes for usage examples:
# vignette(package = "rmorie")
