glmnet-package {glmnet} | R Documentation

## Elastic net model paths for some generalized linear models

### Description

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.

### 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`

### Author(s)

Jerome Friedman, Trevor Hastie and Rob Tibshirani
Maintainer: Trevor Hastie <hastie@stanford.edu>

### References

Friedman, J., Hastie, T. and Tibshirani, R. (2008) Regularization Paths for Generalized Linear Models via Coordinate Descent, http://www.stanford.edu/~hastie/Papers/glmnet.pdf
Journal of Statistical Software, Vol. 33(1), 1-22 Feb 2010
http://www.jstatsoft.org/v33/i01/
Simon, N., Friedman, J., Hastie, T., Tibshirani, R. (2011) Regularization Paths for Cox's Proportional Hazards Model via Coordinate Descent, Journal of Statistical Software, Vol. 39(5) 1-13
http://www.jstatsoft.org/v39/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,
http://www-stat.stanford.edu/~tibs/ftp/strong.pdf
Stanford Statistics Technical Report
Glmnet Vignette http://www.stanford.edu/~hastie/glmnet/glmnet_alpha.html

### 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)

[Package glmnet version 2.0-5 Index]