[HTML][HTML] Regularization paths for generalized linear models via coordinate descent

J Friedman, T Hastie, R Tibshirani - Journal of statistical software, 2010 - ncbi.nlm.nih.gov
Journal of statistical software, 2010ncbi.nlm.nih.gov
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. The methods can handle large problems
and can also deal efficiently with sparse features. In comparative timings we find that the …
Abstract
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. The methods can handle large problems and can also deal efficiently with sparse features. In comparative timings we find that the new algorithms are considerably faster than competing methods.
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