ensembleEN

Ensembling Regularized Linear Models

Functions for computing the ensembles of regularized linear regression estimators defined in Christidis, Lakshmanan, Smucler and Zamar (2017) <arXiv:1712.03561>. The procedure works on top of a given penalized linear regression estimator, the Elastic Net in this implementation, by fitting it to possibly overlapping subsets of features, while at the same time encouraging diversity among the subsets, to reduce the correlations between the predictions that result from each fitted model. The predictions from the models are then aggregated.

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Description file content

Package
ensembleEN
Type
Package
Title
Ensembling Regularized Linear Models
Version
1.1.2
Date
2018-02-09
Author
Anthony Christidis , Ezequiel Smucler , Ruben Zamar
Maintainer
Ezequiel Smucler
Description
Functions for computing the ensembles of regularized linear regression estimators defined in Christidis, Lakshmanan, Smucler and Zamar (2017) . The procedure works on top of a given penalized linear regression estimator, the Elastic Net in this implementation, by fitting it to possibly overlapping subsets of features, while at the same time encouraging diversity among the subsets, to reduce the correlations between the predictions that result from each fitted model. The predictions from the models are then aggregated.
License
GPL (>= 2)
Biarch
true
Imports
Rcpp (>= 0.12.12)
LinkingTo
Rcpp, RcppArmadillo
Suggests
testthat, glmnet, MASS
NeedsCompilation
yes
RoxygenNote
6.0.1
Packaged
2018-02-10 19:06:22 UTC; ezequiel
Repository
CRAN
Date/Publication
2018-02-10 19:28:00 UTC

install.packages('ensembleEN')

1.1.2

11 days ago

Ezequiel Smucler

GPL (>= 2)

Imports

Rcpp (>= 0.12.12)

Suggests

testthat, glmnet, MASS

Discussions