R Package implementing the Penalized Elastic Net S- and MM-Estimator for Linear Regression
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README.md

PENSE R package

This R package implements the Penalized Elastic Net S-Estimator (PENSE) and MM-estimator (PENSEM) for linear regression.

Overview

The main functions in the package are

  • pense() … to compute a robust elastic net S-estimator for linear regression
  • pensem() … to compute a robust elastic net MM-estimator either directly from the data matrix or from an S-estimator previously computed with pense().

Both of these functions perform k-fold cross-validation to choose the optimal penalty level lambda, but the optimal balance between the L1 and the L2 penalties (the alpha parameter) needs to be pre-specified by the user.

The default breakdown point is set to 25%. If the user needs an estimator with a higher breakdown point, the delta argument in the pense_options() and initest_options() can be set to the desired breakdown point (.e.g, delta = 0.5).

The package also exports an efficient classical elastic net algorithm available via the functions elnet() and elnet_cv() which chooses an optimal penalty parameter based on cross-validation. The elastic net solution is computed either by the augmented LARS algorithm (en_options_aug_lars()) or via the Dual Augmented Lagrangian algorithm (Tomioka, et al. 2011) selected with en_options_dal() which is much faster in case of a large number of predictors (> 500) and a small number of observations (< 200).

Installation

To install the latest release from CRAN, run the following R code in the R console:

install.packages("pense")

The most recent stable version as well as the developing version might not yet be available on CRAN. These can be directly installed from github using the devtools package:

# Install the most recent stable version:
install_github("dakep/pense-rpkg")
# Install the (unstable) develop version:
install_github("dakep/pense-rpkg", ref = "develop")

References

Tomioka, R., Suzuki, T., and Sugiyama, M. (2011). Super-linear convergence of dual augmented lagrangian algorithm for sparsity regularized estimation. The Journal of Machine Learning Research, 12:1537–1586.