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LASSO, sparse group LASSO, elastic net

已有 14550 次阅读 2013-11-13 14:18 |个人分类:读书日记|系统分类:科研笔记| lasso

LARS: efficient algorithm to solve lasso

Least angle regression


elastic net: in case of collinear dictionary atoms, it will pick collinear atoms together, or drop them together.

Regularization and variable selection via the elastic net

group lasso: in the extreme case, it behavors like lasso, however in a group manner, i.e. a group is either picked or dropped, and sparsity is obtained at the group level, but within each group, sparsity can't be guarantteed.

Model selection and estimation in regression with grouped variables


sparse group lasso: sparsity is gotten at both group level and within each group.

A note on the group lasso and a sparse group lasso

adaptive lasso:

The adaptive lasso and its oracle properties



Packages:

(1) LARS: l1-magic http://statweb.stanford.edu/~candes/l1magic/

(2) CRAN - Package glmnet, Package 'glmnet'

(3) SPAMS: http://spams-devel.gforge.inria.fr/

(4) SLEP: http://www.public.asu.edu/~jye02/Software/SLEP/

(5) SIRS: http://www-bcf.usc.edu/~jinchilv/publications/software/



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