Elastic net regularization for GLM?

[mmbannert]

Dear Anders,

I was wondering if it would be feasible to implement elastic net regularization in GLM. It would be cool to estimate weights for very large design matrices with regularization at the speed of light :) Is there hope for this to come into existence?

Best,
Michael

[wanderine]

Hi Michael, to do a grid search for different L1 / L2 regularization settings is rather easy, but for first level fMRI there is temporal autocorrelation, which means that each voxel will have its own design matrix due to prewhitening. That part is therefore tricky to implement, and BROCCOLI currently does that partly on the CPU (4 iterations Cochrane-Orcutt). - Anders 2018-04-17 13:46 GMT+02:00 Michael Bannert <notifications@github.com>:

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Dear Anders, I was wondering if it would be feasible to implement elastic net regularization in GLM. It would be cool to estimate weights for very large design matrices with regularization at the speed of light :) Is there hope for this to come into existence? Best, Michael — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#49>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AEGryFZZqoDY-uB2mwZMFnkUPq5Z6gYlks5tpdYKgaJpZM4TYJNC> .

-- Anders Eklund, PhD

[mmbannert]

Hey Anders,
Right, I forgot about each voxel getting its own design matrix. Yes, it makes sense that this is not the highest priority for BROCCOLI.
Thanks & best,
Michael