gcdnet: The (Adaptive) LASSO and Elastic Net Penalized Least Squares,Logistic Regression, Hybrid Huberized Support Vector Machines,Squared Hinge Loss Support Vector Machines and ExpectileRegression using a Fast Generalized Coordinate DescentAlgorithm
Implements a generalized coordinate descent (GCD) algorithm for computing the solution paths of the hybrid Huberized support vector machine (HHSVM) and its generalizations. Supported models include the (adaptive) LASSO and elastic net penalized least squares, logistic regression, HHSVM, squared hinge loss SVM and expectile regression.
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