Unified algorithm for non-convex penalized estimation for generalized linear models
An efficient unified nonconvex penalized estimation algorithm for Gaussian (linear), binomial logit (logistic), Poisson, multinomial logit and Cox proportional hazard regression models. The unified algorithm is implemented based on the convex concave procedure and the algorithm can be applied to most of the existing nonconvex penalties. The algorithm also supports convex penalty – least absolute shrinkage and selection operator (LASSO).
An efficient unified nonconvex penalized estimation algorithm for Gaussian (linear), binomial logit (logistic), Poisson, multinomial logit and Cox proportional hazard regression models. The unified algorithm is implemented based on the convex concave procedure and the algorithm can be applied to most of the existing nonconvex penalties. The algorithm also supports convex penalty – least absolute shrinkage and selection operator (LASSO).
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