R package for lasso and elastic-net regularized generalized linear models.
glmnet is an R package which provides Lasso and elastic-net regularized generalized linear models. It features extremely efficient procedures for fitting the entire Lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models, Poisson regression and the Cox model.
Resources:
- CRAN summary page
- Friedman et al: Regularization Paths for Generalized Linear Models via Coordinate Descent, Journal of Statistical Software, Vol. 33, Issue 1, Feb 2010.
- Hastie: GLMNET webinar
