Regularization Paths for Generalized Linear Models via Coordinate Descent
نویسندگان
چکیده
منابع مشابه
Regularization Paths for Generalized Linear Models via Coordinate Descent.
We develop fast algorithms for estimation of generalized linear models with convex penalties. The models include linear regression, two-class logistic regression, and multinomial regression problems while the penalties include ℓ(1) (the lasso), ℓ(2) (ridge regression) and mixtures of the two (the elastic net). The algorithms use cyclical coordinate descent, computed along a regularization path....
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ژورنال
عنوان ژورنال: Journal of Statistical Software
سال: 2010
ISSN: 1548-7660
DOI: 10.18637/jss.v033.i01