GLMNet.jl

GLMNet.jl: Julia wrapper for fitting Lasso/ElasticNet GLM models using glmnet. glmnet is an R package by Jerome Friedman, Trevor Hastie, Rob Tibshirani that fits entire Lasso or ElasticNet regularization paths for linear, logistic, multinomial, and Cox models using cyclic coordinate descent. This Julia package wraps the Fortran code from glmnet.

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References in zbMATH (referenced in 2 articles )

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  1. Bertsimas, Dimitris; Dunn, Jack; Kapelevich, Lea; Zhang, Rebecca: Sparse regression over clusters: SparClur (2022)
  2. Ledell, Erin; Petersen, Maya; Van der Laan, Mark: Computationally efficient confidence intervals for cross-validated area under the ROC curve estimates (2015)