APML0

Augmented and Penalized Minimization Method L0

Fit linear, logistic and Cox models regularized with L0, lasso (L1), elastic-net (L1 and L2), or net (L1 and Laplacian) penalty, and their adaptive forms, such as adaptive lasso / elastic-net and net adjusting for signs of linked coefficients. It solves L0 penalty problem by simultaneously selecting regularization parameters and the number of non-zero coefficients. This augmented and penalized minimization method provides an approximation solution to the L0 penalty problem, but runs as fast as L1 regularization problem. The package uses one-step coordinate descent algorithm and runs extremely fast by taking into account the sparsity structure of coefficients. It could deal with very high dimensional data and has superior selection performance.

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Description file content

Package
APML0
Type
Package
Title
Augmented and Penalized Minimization Method L0
Version
0.9
Author
Xiang Li, Shanghong Xie, Donglin Zeng and Yuanjia Wang
Maintainer
Xiang Li
Description
Fit linear, logistic and Cox models regularized with L0, lasso (L1), elastic-net (L1 and L2), or net (L1 and Laplacian) penalty, and their adaptive forms, such as adaptive lasso / elastic-net and net adjusting for signs of linked coefficients. It solves L0 penalty problem by simultaneously selecting regularization parameters and the number of non-zero coefficients. This augmented and penalized minimization method provides an approximation solution to the L0 penalty problem, but runs as fast as L1 regularization problem. The package uses one-step coordinate descent algorithm and runs extremely fast by taking into account the sparsity structure of coefficients. It could deal with very high dimensional data and has superior selection performance.
License
GPL (>= 2)
Encoding
UTF-8
LazyData
true
Imports
Rcpp (>= 0.12.12)
LinkingTo
Rcpp, RcppEigen
Depends
Matrix (>= 1.2-10)
RoxygenNote
6.0.1
NeedsCompilation
yes
Packaged
2018-04-23 04:07:16 UTC; spiri
Repository
CRAN
Date/Publication
2018-04-23 04:47:11 UTC

install.packages('APML0')

0.9

2 months ago

Xiang Li

GPL (>= 2)

Depends on

Matrix (>= 1.2-10)

Imports

Rcpp (>= 0.12.12)

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