- Y
Outcome variable
- X
Training dataframe
- newX
Test dataframe
- family
Gaussian or binomial
- obsWeights
Observation-level weights
- penalty
The penalty to be applied to the model. Either "lasso"
(default), "ridge", or "enet" (elastic net).
- alg.logistic
The algorithm used in logistic regression. If "Newton"
then the exact hessian is used (default); if "MM" then a
majorization-minimization algorithm is used to set an upper-bound on the
hessian matrix. This can be faster, particularly in data-larger-than-RAM
case.
- screen
"SSR" (default) is the sequential strong rule; "SEDPP" is the
(sequential) EDPP rule. "SSR-BEDPP", "SSR-Dome", and "SSR-Slores" are our
newly proposed screening rules which combine the strong rule with a safe
rule (BEDPP, Dome test, or Slores rule). Among the three, the first two are
for lasso-penalized linear regression, and the last one is for
lasso-penalized logistic regression. "None" is to not apply a screening
rule.
- alpha
The elastic-net mixing parameter that controls the relative
contribution from the lasso (l1) and the ridge (l2) penalty.
- nlambda
The number of lambda values to check. Default is 100.
- eval.metric
The evaluation metric for the cross-validated error and
for choosing optimal lambda
. "default" for linear regression is MSE
(mean squared error), for logistic regression is misclassification error.
"MAPE", for linear regression only, is the Mean Absolute Percentage Error.
- ncores
The number of cores to use for parallel execution across a
cluster created by the parallel
package.
- nfolds
The number of cross-validation folds. Default is 5.
- ...
Any additional arguments, not currently used.