How does glmnet compute the maximal lambda value?

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迷失自我
迷失自我 2020-12-29 14:15

The glmnet package uses a range of LASSO tuning parameters lambda scaled from the maximal lambda_max under which no predi

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  •  盖世英雄少女心
    2020-12-29 14:37

    For your second question, look to Friedman et al's paper, "Regularization paths for generalized linear models via coordinate descent". In particular, see equation (10), which is equality at equilibrium. Just check under what conditions the numerator $S(\cdot,\cdot)$ is zero for all parameters.

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