APML0 (0.8)

Augmented and Penalized Minimization Method L0.


Fit linear, logistic and Cox models regularized with L0, lasso (L1), elastic-net (L1 and L2), or net (L1 and Laplacian) penalty, and their adaptive forms, such as adaptive lasso / elastic-net and net adjusting for signs of linked coefficients. It solves L0 penalty problem by simultaneously selecting regularization parameters and the number of non-zero coefficients. This augmented and penalized minimization method provides an approximation solution to the L0 penalty problem, but runs as fast as L1 regularization problem. The package uses one-step coordinate descent algorithm and runs extremely fast by taking into account the sparsity structure of coefficients. It could deal with very high dimensional data and has superior selection performance.

Maintainer: Xiang Li
Author(s): Xiang Li, Shanghong Xie, Donglin Zeng and Yuanjia Wang

License: GPL (>= 2)

Uses: Matrix, Rcpp

Released over 1 year ago.