Linear Model with Tree-Based Lasso Regularization for Rare Features

Implementation of an alternating direction method of multipliers algorithm for fitting a linear model with tree-based lasso regularization, which is proposed in Algorithm 1 of Yan and Bien (2020) . The package allows efficient model fitting on the entire 2-dimensional regularization path for large datasets. The complete set of functions also makes the entire process of tuning regularization parameters and visualizing results hassle-free.

rare

The R package implements the rare feature selection framework introduced in Yan, X. and Bien, J. (2018) "Rare Feature Selection in High Dimensions".

To install rare using the devtools R package, type

devtools::install_github("yanxht/rare", build_vignettes = TRUE)

in R. This installs rare and builds its vignette. Learn to use rare with its vignette by typing

vignette("rare-vignette")

in R.