The (Adaptive) LASSO and Elastic Net Penalized Least Squares,
Logistic Regression, Hybrid Huberized Support Vector Machines,
Squared Hinge Loss Support Vector Machines and Expectile
Regression using a Fast Generalized Coordinate Descent
Algorithm
Description
Implements a generalized coordinate descent (GCD) algorithm
for computing the solution paths of the hybrid Huberized support vector
machine (HHSVM) and its generalizations. Supported models include the
(adaptive) LASSO and elastic net penalized least squares, logistic
regression, HHSVM, squared hinge loss SVM and expectile regression.