Implement Exclusive Lasso for Logistic and Poisson GLMs

DataSlingers / ExclusiveLasso

Generalized Linear Models with the Exclusive Lasso Penalty

https://DataSlingers.github.io/ExclusiveLasso/

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Implement Exclusive Lasso for Logistic and Poisson GLMs #2

Closed michaelweylandt closed 5 years ago

michaelweylandt commented 6 years ago

It's not necessary to implement the full set of GLMs supported by glmnet, but we should have the "big three" of Gaussian, Logistic, and Poisson. No plans to implement Cox PH, multinomial and multi-response Gaussian for now.

[ ] Coordinate Descent Algorithm (nested within IRLS like glmnet?)
[ ] Prox Gradient Algorithm (will probably need back-tracking, so need to make sure prox is optimized)
[ ] Methods for deviance function
[ ] Other CV loss functions

michaelweylandt commented 5 years ago

Closed over a few recent commits 156a67d6, 92a9f277, e12a5c6b, 984baaaf