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Inclusion of additional constraints (typically a penalty for complexity) in the model fitting process. Used to prevent overfitting / enhance predictive accuracy.

4 votes
1 answer
3k views

Using glmnet to solve the LASSO problem

I have recently been made aware of the Lasso algorithm and found that the package glmnet can be used to solve it. (I have the glmnet package on R). If I have a matrix $A$ and a vector $y$ how do I so …
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