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junyangq / glmnetPlus

glmnet package with initialization
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Does glmnetplus contain any screening rules? #7

Open prateeksasan1 opened 3 years ago

prateeksasan1 commented 3 years ago

Hi,

I wanted to know whether any safe/strong screening rules have already been implemented in glmnetplus for family = "mgaussian"? I am trying to run an elastic net penalty for "mgaussian" (alpha = 0.99) and want to get a sense of what coding i would have to do on top of glmnetplus

Thanks Prateek Sasan

junyangq commented 3 years ago

Yes, it includes strong rules screening. For mgaussian family, almost everything is the same as glmnet except that it opens up the option for one to provide his or her own initialization.