[R-pkgs] Major glmnet upgrade on CRAN

From: Trevor Hastie <hastie_at_stanford.edu>
Date: Sun, 04 Apr 2010 23:46:09 +0200


glmnet_1.2 has been uploaded to CRAN.

This is a major upgrade, with the following additional features:

Here is the description of the package.

glmnet is a package that fits the regularization path for linear, two- and multi-class logistic regression models, poisson regression and the Cox model, with "elastic net" regularization (tunable mixture of L1 and L2 penalties). glmnet uses pathwise coordinate descent, and is very fast.

Some of the features of glmnet:

Examples of glmnet speed trials:
Newsgroup data: N=11,000, p= 0.75 Million, two class logistic. 100 values along lasso path. Time = 2mins 14 Class cancer data: N=144, p=16K, 14 class multinomial, 100 values along lasso path. Time = 30secs

Authors: Jerome Friedman, Trevor Hastie, Rob Tibshirani.

See our paper http://www-stat.stanford.edu/~hastie/Papers/glmnet.pdf for implementation details, and comparisons with other related software.


  Trevor Hastie                                   hastie_at_stanford.edu  
  Professor, Department of Statistics, Stanford University
  Phone: (650) 725-2231 (Statistics)          Fax: (650) 725-8977  
  (650) 498-5233 (Biostatistics) Fax: (650) 725-6951   URL: http://www-stat.stanford.edu/~hastie    address: room 104, Department of Statistics, Sequoia Hall

           390 Serra Mall, Stanford University, CA 94305-4065



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