glmnet-package

Elastic net model paths for some generalized linear models

This package fits lasso and elastic-net model paths for regression, logistic and multinomial regression using coordinate descent. The algorithm is extremely fast, and exploits sparsity in the input x matrix where it exists. A variety of predictions can be made from the fitted models. package

Details

Package:	glmnet
Type:	Package
Version:	1.0
Date:	2008-05-14
License:	What license is it under?

Very simple to use. Accepts x,y data for regression models, and produces the regularization path over a grid of values for the tuning parameter lambda. Only 5 functions: glmnet

predict.glmnet

plot.glmnet

print.glmnet

coef.glmnet

Examples

x = matrix(rnorm(100 * 20), 100, 20)
y = rnorm(100)
g2 = sample(1:2, 100, replace = TRUE)
g4 = sample(1:4, 100, replace = TRUE)
fit1 = glmnet(x, y)
predict(fit1, newx = x[1:5, ], s = c(0.01, 0.005))
predict(fit1, type = "coef")
plot(fit1, xvar = "lambda")
fit2 = glmnet(x, g2, family = "binomial")
predict(fit2, type = "response", newx = x[2:5, ])
predict(fit2, type = "nonzero")
fit3 = glmnet(x, g4, family = "multinomial")
predict(fit3, newx = x[1:3, ], type = "response", s = 0.01)

References

Friedman, J., Hastie, T. and Tibshirani, R. (2008) Regularization Paths for Generalized Linear Models via Coordinate Descent (2010), Journal of Statistical Software, Vol. 33(1), 1-22, tools:::Rd_expr_doi("10.18637/jss.v033.i01") .

Simon, N., Friedman, J., Hastie, T. and Tibshirani, R. (2011) Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent, Journal of Statistical Software, Vol. 39(5), 1-13, tools:::Rd_expr_doi("10.18637/jss.v039.i05") .

Tibshirani,Robert, Bien, J., Friedman, J., Hastie, T.,Simon, N.,Taylor, J. and Tibshirani, Ryan. (2012) Strong Rules for Discarding Predictors in Lasso-type Problems, JRSSB, Vol. 74(2), 245-266, https://arxiv.org/abs/1011.2234.

Hastie, T., Tibshirani, Robert and Tibshirani, Ryan (2020) Best Subset, Forward Stepwise or Lasso? Analysis and Recommendations Based on Extensive Comparisons, Statist. Sc. Vol. 35(4), 579-592, https://arxiv.org/abs/1707.08692.

Glmnet webpage with four vignettes: https://glmnet.stanford.edu.

Author(s)

Jerome Friedman, Trevor Hastie and Rob Tibshirani

Maintainer: Trevor Hastie hastie@stanford.edu