Stacked Elastic Net

Implements stacked elastic net regression (Rauschenberger 2020, ). The elastic net generalises ridge and lasso regularisation (Zou 2005, ). Instead of fixing or tuning the mixing parameter alpha, we combine multiple alpha by stacked generalisation (Wolpert 1992 ).


Reference manual

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0.0.6 by Armin Rauschenberger, a year ago

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Authors: Armin Rauschenberger [aut, cre]

Documentation:   PDF Manual  

GPL-3 license

Imports glmnet, survival, cornet, Matrix

Suggests knitr, testthat, rmarkdown

Enhances CVXR, mvtnorm

See at CRAN