Fit GLMs with other distributions?

yixuan / ADMM

Solving Statistical Optimization Problems Using the ADMM Algorithm

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Fit GLMs with other distributions? #7

Open tomwenseleers opened 7 years ago

tomwenseleers commented 7 years ago

Nice package! Would it also be possible to use the same approach to fit other families/distributions, as one can do in glmnet, such as multivariate gaussian, multinomial, binomial or Poisson?

RoyiAvital commented 6 years ago

@yixuan , Is there a paper or some background how you solved Elastic Net using ADMM? Did you use 3 Blocks ADMM or put the $ {L}_{2} $ term into the main term?

Thank You.