A Blockwise Descent Algorithm for Group-penalized Multiresponse and Multinomial Regression
نویسندگان
چکیده
In this paper we purpose a blockwise descent algorithm for group-penalized multiresponse regression. Using a quasi-newton framework we extend this to group-penalized multinomial regression. We give the first publicly available implementation for these in R, and compare the speed of this algorithm to a similar algorithm for standard `1-penalized multinomial regression on simulated data — we show that our implementation is roughly as fast and can solve gene-expression-sized problems in real time.
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