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Cross Validated

Questions tagged [elastic-net]

A regularization method for regression models that combines the penalties of lasso and of ridge regression.

189 questions
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Ridge, Lasso or Elastic nets used in Accounting Research

I am trying to come up with ideas for my master's thesis and was wondering why literature on the above mentioned regression methods within Accounting Research is non-existent? I felt like the ...
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44 views

Probability that feature selection in elastic net regularisation is meaningful - evaluating the statistical significance of chosen features

I have a research question - can I use baseline clinical features to predict my binary clinical outcome in individual patients? I am interested if the performance of my model is greater than chance. I ...
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14 views

Cross-validation with one-standard-rule for Elastic Net

I would like to use one-standard -deviation rule for my hyper-parameter selection for elastic net. I understand how to do it for ridge or lasso, but when it comes to two regularization parameters I am ...
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1answer
32 views

How to check if covariates in multiple regression is explaining the same?

I am a master's student doing my thesis at the moment and have come to the point of determining my empirical setup. I would like to get some guidance, in terms of what I am thinking is proper.. I ...
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how to scale count data when I use elastic net model

I'm using elastic net model for my prediction. I have 100 features. 30 of them are numeric values (100-999). The rest of predictors are simply counts, ranging from 0 to 10 (most of them are 0-3). For ...
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1answer
32 views

Interpreting glmnet cox coefficients

There have been similar questions regarding interpretation of glmnet results. However this is more specific to the cox part of the package. I am trying to create a prognostic score for cancer ...
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1answer
51 views

Is there any two-stage procedure for elastic net as LASSO?

I read this post Why use Lasso estimates over OLS estimates on the Lasso-identified subset of variables? . It says the LASSO shrinkage causes the estimates of the non-zero coefficients to be biased ...
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Confused about hyperparameter selection for elastic net regularization using glmnet

I am following the glmnet tutorial here and confused about the statement: We see that lasso (alpha=1) does about the best here. We also see that the range of ...
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1answer
45 views

why does lasso select at most n predictors?

From the seminal paper on elastic net regularization from Zou and Hastie 2005, I read ...
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71 views

R squared / deviance explained for elastic net glmnet

I am using R glmnet function for the elastic net for logistic regression with binary outcome and would like to calculate the R-square value. I am getting different results when I use the dev.ratio ...
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1answer
122 views

how to use elastic net to select a set of features

I have a dataset with 500 samples and 100 features. I need to come up with a set of features. The management prefer a model with a smaller set of features. How exactly should I use elastic net to do ...
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41 views

Finding the “optimal” non linear relationship between two variables

I am looking for finding associations between a binary outcome regarding women fertility and several potential risk factors. Since this study is quite exploratory, I was planning to include all my ...
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The limitations of Elastic-net regularization [duplicate]

I know that Elastic-net regularization is the combination of L1 and L2 regularization. My question is what are the limitations of Elastic-net regularization? My question is not related to Elastic-...
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Equations of Elastic net regularization [duplicate]

I know that the Elastic net takes care of the limitations of Lasso by adding an L 2 penalty term. In the attached picture has been mentioned that the two formulas are equivalent. I tried to show this, ...
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15 views

Scoring System via Elastic Net and Bootstrapping a reasonable approach?

I am still at model Building stage. It's for heart surgery data, Building a scoring System for (near-future) death by a set of variables (~20) on a cohort of about 500 patients, 2 competing therapies, ...
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107 views

Feature selection Stability of Elastic net vs Lasso

I am new to regularized regression, and I was told that Elastic net overcomes many issues of the Lasso Regression. Especially, in the case of highly correlated predictors, Lasso variable selections ...
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3answers
102 views

For high dimensional data, does it make sense to do feature selection before running elastic net?

I have a dataset with $n = 800$ observations and $p = 2000$ features. I'm running elastic net for binary classification. My question is: Does it make sense to do some feature selection to reduce the ...
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137 views

How to use Elastic Net Model to Reduce Collinearity

I am using R to perform a linear regression with a dataset that has clearly correlated independent variables (collinearity). I am using the vif (variance inflation factor) function from the car ...
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59 views

Elastic Net and collinearity

I am performing elastic net for variable selection on a dataset of 95 records and 41 variables. The response is a continuous numerical. I choose the alpha and lambda parameters through 10 fold cross ...
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34 views

How can I use the coefficient and important variables obtained from elastic net modelling [closed]

I have a big question here. Although I search over internet and also in research papers but couldn't find an answer to it. I ran elastic net over a dataset that had close to 300 variables and a ...
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1answer
127 views

Elastic net visualization [closed]

Sorry for the naive question, but is there a way to display in a graph the elastic net (or penalized regression in general) results? Specifically, how can I render the coefficients of the variables?
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350 views

How to decide whether to use Ridge Regression/LASSO/Elastic Net or Random Forest for Feature Selection?

My understanding is rudimentary and high level but it seems like Ridge Regression/LASSO/Elastic Net would be better when the data is linear and Random Forest is better when the data is nonlinear? Also ...
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1answer
136 views

Sample size calculation for elastic net regression

I am using elastic net regression to investigate the effect of preditors on the response variable while accounting for multicollinearity among the predictors. But I wish to perform a sample size ...
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19 views

At a loss regarding feature selection vs coefficient estimation. Can you ever re-do the latter after the former?

I'm looking at a binary classification problem where p>>>n (9,000 gene expression variables for 290 patients who either have or don't have disease). I hypothesized that it would be easy to find "...
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1answer
235 views

what's the difference between multinomial logistic regression and traditional regression?

Could anyone please explain to me what is the difference between multinomial logistic regression and traditional regression? I have used a method called elastic-net as the response variables are in ...
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1answer
209 views

Multivariate Elastic Net with glmnet [closed]

I am using glmnet package for elastic net. I'd like to perform variable selection and classification on a 50x41 data set with 3 response variables (one continuous and two categorical), but I have not ...
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32 views

Do I need to standardize if I don't care about covariate effects? (Elastic Net Regression)

I am using elastic net logistic regression to develop a classification model. I understand that generally we standardize the covariates before fitting any models so that we "penalize fairly" all the ...
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245 views

Soft-thresholding for the LASSO with complex valued data

I'm currently implementing coordinate descent for the LASSO with complex-valued data. For this, one needs a complex version of the soft-thresholding operator, which seems hardly available on the net. ...
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465 views

Glmnet: How to select Lambda and Alpha

I'd like to pick the optimal lambda and alpha using the Glmnet package. I'm open to all models (Ridge, Lasso, Elastic). I'm assuming some out of sample error/cross validation is the best model ...
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113 views

Variable importance in the glmnet

I'm using R for machine learning. The objective is to classify the onset of disease (Two-class). Before conducting a machine learning algorithm, I ran the glmnet (to utilize elastic net) to reduce ...
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37 views

What are the Advantages of Using Both $L_1$ and $L_2$ for Regularization? [duplicate]

This is what I found to compare the two: But I could not find the advantages of using both, for example for a linear regression model?
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56 views

Using covariates from penalized regression model in unpenalized model

The good news where I am is that researchers are doing less stepwise covariate selection now that I've introduced penalized regression. The bad news is that researchers want to use elastic-net ...
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0answers
171 views

LASSO in AR-Models

I couldnt find such a post here. I am highly interested in applying the lasso to different situations. However, I am actually dealing with time series models of high order. I have found some research ...
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32 views

A confirmation about elastic-net and lasso

I would like to confirm numerically that elastic-net and lasso are equivalent under a transformation on the data set using glmnet package in ...
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0answers
69 views

Confidence Interval for Multinomial Elastic Net Predicted Probabilities

I am building an application which involves multinomial logistic regression models with the elastic net penalty using the glmnet-library on automatically collected data in R. My interest in particular ...
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299 views

Interpretation of Elastic Net Regression Coefficients

I would like to interprete the coefficients of a elastic net regression (i'm using function glmnet()$beta in R). The coefficients of the elastic net regularized ...
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1answer
1k views

Any disadvantages of elastic net over lasso?

What are the disadvantages of using elastic net in comparison to lasso. I know that the elastic net is able to select groups of variables when they are highly correlated. It doesn't have the ...
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59 views

Elastic net consistency for time series case

I am looking for a paper that proves elastic net consistency (in estimation and model selection) for time series setting (non i.i.d. errors). I have found papers for LASSO and adaptive LASSO but after ...
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78 views

Interpreting coefficents of elastic-net for ordered factors in R

I am currently learning the elastic-net package in R and optimizing it using caret. I read the book introduction to statistical ...
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0answers
19 views

Cross-validated methods as a default

Scikit-learn ( http://scikit-learn.org/stable/modules/classes.html#module-sklearn.linear_model ) provide classes for Lasso, ElaticNet and Lars etc both with and without cross-validation. What are ...
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14 views

Elastic net with increased penalty for lower quality features

I’m building multinomial classification models using features characterized with high false-positive rate. Meaning, as the signal rate of the feature is lower (say gene expression abundance) the more ...
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88 views

Testing theoretical properties of Multinomial Elastic Net

Consider the multinomial elastic net regression model. As explained in http://statweb.stanford.edu/~jhf/ftp/glmnet.pdf (page 12+13), the penalty term imposes a normalization of the parameter ...
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113 views

Elastic net arbitrary alpha selection

I'm trying to solve a prediction problem given the following constraints: I need an interpretable model to be used for experimental validation I need a model that performs feature selection to reduce ...
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0answers
39 views

Help Interpreting Graph from GLMnet

I am going through the Vignette of R GLMnet package. In the plot section, I am confused about the interpretation the author gave What does he mean by the Lasso performs the best here? How can he say ...
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1answer
121 views

Whether or not to use elastic-net or LASSO regression to chose variables for a linear regression?

I am doing a linear regression on the relationship between my outcome and several predictor variables. I am looking to find the more significant variables to include in the regression. I already ran a ...
2
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0answers
53 views

Can one run Elastic Net with just one predictor?

I tried to run Elastic Net in R with just one predictor (don't ask me why). It seems that, at least theoretically, it should be possible. I can run a regression with just one predictor and I might be ...
2
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1answer
521 views

How can I calculate the number of degrees of freedom in the Elastic Net regularization, specifically in R?

In the elastic net, and specifically in glment package in R - how would I obtain the number of degrees of freedom? Note that in the Glmnet Vignette it says that the ...
23
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1answer
992 views

Why does glmnet use “naive” elastic net from the Zou & Hastie original paper?

The original elastic net paper Zou & Hastie (2005) Regularization and variable selection via the elastic net introduced elastic net loss function for linear regression (here I assume all ...
7
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1answer
162 views

Cross-validation for elastic net regression: squared error vs. correlation on the test set

Consider elastic net regression with glmnet-like parametrization of the loss function$$\mathcal L = \frac{1}{2n}\big\lVert y - \beta_0-X\beta\big\rVert^2 + \lambda\...
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220 views

Running Elastic-Net with missing values with glmnet in R

I have a data frame which has lots of variables and I want to use elastic net in order to reduce the dimensionality, but each variable has also NAs present in it (missing values). What I've done is ...

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