2
$\begingroup$

I have a dataset with between 10,000 and 100,000 feature values. The number of datapoints is between 1,000 and 10,000. I want to perform a LASSO on this dataset but can't really find any good software to do so. Does anyone have any suggestions?

$\endgroup$
2
  • $\begingroup$ There is a package in R called lars that handles common procedures related to least angle regression and lasso. cran.r-project.org/web/packages/lars/index.html $\endgroup$ Commented Apr 25, 2011 at 20:19
  • 2
    $\begingroup$ Have you looked at the [lasso] tag? There are several relevant questions there. $\endgroup$
    – cardinal
    Commented Apr 26, 2011 at 0:54

1 Answer 1

4
$\begingroup$

Check the article by Wu Chen Hastie Sobel Lange - Genome-wide association analysis by lasso penalized logistic regression - 2009. They mention a 'swindle' that is not hard to implement + then you can simply work with glmnet (there is a new version out recently which promises a performance improvement but I haven't had a chance to check it out).

$\endgroup$
1
  • 1
    $\begingroup$ I know it's an ancient post, but I didn't understand the swindle they used. Could you elaborate? $\endgroup$ Commented Apr 26, 2013 at 15:04

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.