Is it possible to do Generalized Tikhonov regularization https://en.wikipedia.org/wiki/Tikhonov_regularization#Generalized_Tikhonov_regularization with glmnet?

This seems like straightforward and useful extension [would require changing penalty from ||beta||^2 to ||beta-target||^2], but I do not see it in the documentation...

Any pointers to other packages with Generalized Tikhonov regularization would be highly appreciated as well.

  • $\begingroup$ Maybe you can add in the wanted center term as an offset, and then add the same variable again. Assuming glmnet accepts offsets, and they are not penalized. $\endgroup$ – kjetil b halvorsen Apr 24 '16 at 18:00

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