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Relaxed lasso #24

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ericbair-sciome opened this issue Nov 12, 2023 · 1 comment
Open

Relaxed lasso #24

ericbair-sciome opened this issue Nov 12, 2023 · 1 comment
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enhancement New feature or request future research Future research is needed to determine if this feature should be implemented version 1.0 Features that should be included in the initial PrestoGP release

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@ericbair-sciome
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Kyle found that relaxed lasso worked better than regular lasso in some situations. This should be evaluated more carefully. If the relaxed lasso generally outperforms the regular lasso, then it should be used as the default.
@ericbair-sciome ericbair-sciome added version ? Uncertain when this feature will be implemented future research Future research is needed to determine if this feature should be implemented labels Nov 12, 2023
@kyle-messier kyle-messier added version 2.0 Features that will be included in future releases and removed version ? Uncertain when this feature will be implemented labels Nov 13, 2023
@kyle-messier kyle-messier mentioned this issue Nov 13, 2023
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@kyle-messier
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@ericbair-sciome @sciome-bot In terms of implementing this - we can still use the multivariate Gaussian LASSO from glmnet. After the betas have been fit using lasso, just re-estimate using an un-penalized linear regression (e.g. glm or lm). This is equivalent to the relaxed-lasso with gamma = 0, i.e. the most relaxed ☺️

@kyle-messier kyle-messier added enhancement New feature or request version 1.0 Features that should be included in the initial PrestoGP release and removed version 2.0 Features that will be included in future releases labels Nov 13, 2023
sciome-bot pushed a commit that referenced this issue Jan 10, 2024
@ericbair-sciome @shail-choksi
Pull request #24: PrestoGP Update
af6d756 
Merge in STAT/prestogp from eb-dev to master

* commit 'd361f2e67bcf05e306a14a99ba9b7a57a18a281b':
  Added a data file for testing
  Univariate prediction, more testing
@ericbair-sciome ericbair-sciome mentioned this issue Jul 30, 2024
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enhancement New feature or request future research Future research is needed to determine if this feature should be implemented version 1.0 Features that should be included in the initial PrestoGP release
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@kyle-messier @ericbair-sciome