picasso: Pathwise Calibrated Sparse Shooting Algorithm
Computationally efficient tools for fitting generalized linear model with convex or non-convex penalty. Users can enjoy the superior statistical property of non-convex penalty such as SCAD and MCP which has significantly less estimation error and overfitting compared to convex penalty such as lasso and ridge. Computation is handled by multi-stage convex relaxation and the PathwIse CAlibrated Sparse Shooting algOrithm (PICASSO) which exploits warm start initialization, active set updating, and strong rule for coordinate preselection to boost computation, and attains a linear convergence to a unique sparse local optimum with optimal statistical properties. The computation is memory-optimized using the sparse matrix output.
||R (≥ 2.15.0), lattice, igraph, MASS, Matrix
||Jason Ge, Xingguo Li, Mengdi Wang, Tong Zhang, Han Liu and Tuo Zhao
||Jason Ge <jiange at princeton.edu>
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