[R] [R-pkgs] New glmnet package on CRAN

From: Trevor Hastie <hastie_at_stanford.edu>
Date: Mon, 02 Jun 2008 11:08:16 -0700

glmnet is a package that fits the regularization path for linear, two- and multi-class logistic regression
models 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:

Other families such as poisson might appear in later versions of glmnet.

Examples of glmnet speed trials:  

Newsgroup data: N=11,000, p=4 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 & Chair, 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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Received on Mon 02 Jun 2008 - 20:04:27 GMT

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