sparsenet (version 1.6)

sparsenet-package: Fit a linear model regularized by the nonconvex MC+ sparsity penalty

Description

Sparsenet uses coordinate descent on the MC+ nonconvex penalty family, and fits a surface of solutions over the two-dimensional parameter space.

Author

Rahul Mazumder, Jerome Friedman and Trevor Hastie

Maintainer: Trevor Hastie <[e-mail]>

Details

At its simplest, provide x,y data and it returns the solution paths. There are tools for prediction, cross-validation, plotting and printing.

References

Mazumder, Rahul, Friedman, Jerome and Hastie, Trevor (2011) SparseNet: Coordinate Descent with Nonconvex Penalties. JASA, Vol 106(495), 1125-38, https://hastie.su.domains/public/Papers/Sparsenet/Mazumder-SparseNetCoordinateDescent-2011.pdf

Examples

x=matrix(rnorm(100*20),100,20)
y=rnorm(100)
fit=sparsenet(x,y)
plot(fit)
cvfit=cv.sparsenet(x,y)
plot(cvfit)