I would like to get the coefficients for the LASSO problem
The problem is that glmnet and lars functions give different answers. For the glmnet function I ask for the coefficients of $\lambda/||Y||$ instead of just $\lambda$, but I still get different answers.
Is this expected? What is the relationship between the lars $\lambda$ and glmnet $\lambda$? I understand that glmnet is faster for LASSO problems but I would like to know which method is more powerful?
deps_stats I am afraid that the size of my dataset is so large that LARS can not handle it, whereas on the other hand glmnet can handle my large dataset.
mpiktas I want to find the solution of (Y-Xb)^2+L\sum|b_j| but when I ask from the two algorithms(lars & glmnet) for their calculated coefficients for that particular L, I get different answers...and I wondering is that correct/ expected? or I am just using a wrong lambda for the two functions.