Regularization Paths for Generalized Linear Models via Coordinate Descent

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 multi- nomial regression problems while the penalties include ℓ<sub>1</sub> (the lasso), ℓ<sub>2</sub> (ridge...

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Bibliographic Details
Main Authors: Jerome Friedman, Trevor Hastie, Rob Tibshirani
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2010-02-01
Series:Journal of Statistical Software
Subjects:
lasso
elastic net
logistic regression
ℓ<sub>1</sub> penalty
regularization path
coordinate-descent
Online Access:http://www.jstatsoft.org/v33/i01/paper

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