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Better unpenalized var handling
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@AsafManela AsafManela released this 19 Feb 22:18
· 31 commits to master since this release
v0.3.0
071e5b1
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Learn about vigilant mode.

Improved unpenalized var handling by conforming to approach taken in R's glmnet and gamlr, where an explanatory variable with a zero penalty factor is included in the base / null model that is used as a starting point for the regularization path.
The two following keyword arguments were added to allow us to compare in test/gammalasso.jl against gamlr:

  • stopearly allows the user to disable early stopping of regularization path
  • standardizeω allows the user to disable standardization of penalty factors
    These behaviors both happen by default in glmnet but not gamlr
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