Lasso and Elastic-Net Regularized Generalized Linear Models

Extremely efficient procedures for fitting the entire lasso or elastic-net regularization path for linear regression, logistic and multinomial regression models, Poisson regression, Cox model, multiple-response Gaussian, and the grouped multinomial regression. There are two new and important additions. The family argument can be a GLM family object, which opens the door to any programmed family. This comes with a modest computational cost, so when the built-in families suffice, they should be used instead. The other novelty is the relax option, which refits each of the active sets in the path unpenalized. The algorithm uses cyclical coordinate descent in a path-wise fashion, as described in the papers listed in the URL below.


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Reference manual

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install.packages("glmnet")

4.0-2 by Trevor Hastie, 2 months ago


https://glmnet.stanford.edu, https://dx.doi.org/10.18637/jss.v033.i01, https://dx.doi.org/10.18637/jss.v039.i05


Browse source code at https://github.com/cran/glmnet


Authors: Jerome Friedman [aut] , Trevor Hastie [aut, cre] , Rob Tibshirani [aut] , Balasubramanian Narasimhan [aut] , Kenneth Tay [aut] , Noah Simon [aut] , Junyang Qian [ctb]


Documentation:   PDF Manual  


Task views: Machine Learning & Statistical Learning, Survival Analysis


GPL-2 license


Imports methods, utils, foreach, shape, survival

Depends on Matrix

Suggests knitr, lars, testthat


Imported by ArCo, BNrich, BWGS, BeSS, CISE, CausalKinetiX, CenBAR, ComICS, CovSelHigh, DALEXtra, DMRnet, DWLasso, DevTreatRules, EnsembleBase, EnsemblePenReg, FADA, FLAME, FindIt, GMDH2, GMSimpute, GRPtests, GWLelast, HCTR, HDCI, HTLR, IsingFit, KOBT, LEGIT, LPRelevance, LUCIDus, LassoSIR, MESS, MRFA, MWRidge, MetabolicSurv, NCutYX, NonProbEst, NormalBetaPrime, OHPL, PDN, PRISM.forecast, Patterns, PhylogeneticEM, QTL.gCIMapping, QTL.gCIMapping.GUI, RCPmod, RISCA, RNAseqNet, RPtests, RSDA, RTextTools, RobMixReg, SAVER, SILM, SIS, SISIR, SOIL, STGS, STOPES, SelectBoost, SentimentAnalysis, StabilizedRegression, StratifiedMedicine, SubgrpID, SuperPCA, TANDEM, TCA, TULIP, TextForecast, XMRF, ZVCV, anoint, argo, armada, arulesCBA, aurelius, bastah, bestglm, bgsmtr, biospear, blin, c060, categoryEncodings, causalweight, changedetection, cmenet, coca, cocoreg, cornet, cpt, creditmodel, customizedTraining, dlbayes, dnr, doc2concrete, eNetXplorer, ePCR, elasticIsing, enetLTS, epiGWAS, eshrink, eventstream, expandFunctions, expose, fdm2id, fssemR, fuser, gamreg, gencve, ggmix, glmnetUtils, goffda, graphicalVAR, gren, hal9001, hdi, hdm, hdme, hdnom, healthcareai, hit, hmgm, hybridEnsemble, joinet, knockoff, kosel, lime, localModel, mase, maxnet, mcb, mdpeer, metafuse, mgm, milr, mimi, mplot, msaenet, mudfold, naivereg, natural, netgsa, nnGarrote, nnfor, nonet, nproc, obliqueRSF, omicwas, pact, palasso, parboost, partialCI, pgraph, phd, plsmselect, politeness, polywog, postDoubleR, pre, predictoR, prioritylasso, rare, rdomains, regnet, regressoR, reinforcedPred, relgam, rminer, roben, rolypoly, rrpack, sail, sdafilter, sentometrics, sirus, slimrec, smurf, sparsereg, sparsevar, spinBayes, splitSelect, sprintr, starnet, statVisual, stepPenal, stm, tensorsparse, tools4uplift, triplot, varEst, xrf, xtune.

Depended on by AHM, AdapEnetClass, BigTSP, BioMark, CBPS, DTRlearn2, DivMelt, EstHer, Grace, HSDiC, HiCfeat, IGG, InvariantCausalPrediction, Lavash, MMMS, MNS, MRFcov, MTPS, MetGen, MultiVarSel, PAS, PRIMsrc, RVtests, SIMMS, SMLE, TSGSIS, adapt4pv, bapred, cosso, ctmle, elasso, ensr, fcd, glmnetcr, glmtlp, glmvsd, hdlm, ipflasso, islasso, lassoscore, mcen, personalized, prototest, roccv, selectiveInference, tmle.

Suggested by BOSSreg, BiodiversityR, CBDA, CompareCausalNetworks, DriveML, EBglmnet, EHR, FRESA.CAD, FeatureHashing, GWASinlps, LSAmitR, MachineShop, ModelGood, SLOPE, SPreFuGED, STPGA, SplitReg, SuperLearner, WeightedROC, adaptMT, bamlss, bbl, bcaboot, bigstatsr, broom, caretEnsemble, casebase, catdata, coefplot, eclust, fbRanks, flexmix, forecastML, fscaret, ggfortify, heuristica, iml, imputeR, live, medflex, mlr, mlr3learners, mlr3pipelines, modelplotr, nlpred, nscancor, ordinalNet, plotmo, pmml, projpred, pulsar, r2pmml, regsem, s2net, sAIC, sgd, simputation, simulator, sqlscore, stabs, superml, text2vec, tramnet, varbvs, vimp, vip.

Enhanced by prediction.


See at CRAN