LASSO and Elastic Net (Adaptive) Penalized Least Squares,
Logistic Regression, HHSVM, Squared Hinge SVM and Expectile
Regression using a Fast GCD Algorithm
Description
A generalized coordinate descent (GCD) algorithm for computing the solution path of the hybrid Huberized support vector machine (HHSVM) and its generalization, including the LASSO and elastic net (adaptive) penalized least squares, logistic regression, HHSVM, squared hinge loss SVM and expectile regression.