A Blockwise Descent Algorithm for Group-penalized Multiresponse and Multinomial Regression
Computation
2013-11-27 v1 Machine Learning
Abstract
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 a publicly available implementation for these in R, and compare the speed of this algorithm to a competing algorithm --- we show that our implementation is an order of magnitude faster than its competitor, and can solve gene-expression-sized problems in real time.
Cite
@article{arxiv.1311.6529,
title = {A Blockwise Descent Algorithm for Group-penalized Multiresponse and Multinomial Regression},
author = {Noah Simon and Jerome Friedman and Trevor Hastie},
journal= {arXiv preprint arXiv:1311.6529},
year = {2013}
}