draft scad/mcp - Githubissues

JuliaAI / MLJLinearModels.jl

Generalized Linear Regressions Models (penalized regressions, robust regressions, ...)

MIT License

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draft scad/mcp #128

Open tlienart opened 1 year ago

tlienart commented 1 year ago

see #127 , this paper , these slides, R docs pg 12-13. Also this blog post.

(this is not ready, no ETA)

[ ] set up comparison with R package
[ ] GLR constructor (SCADRegression + MCPRegression) + extend to allow L2 penalty (~similar Elnet)
[ ] testing
[ ] maybe comparison with package mentioned in #127

would be curious to know if proxgrad works well on quasi convex empirically.