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arXiv · 1311.6529

A Blockwise Descent Algorithm for Group-penalized Multiresponse and Multinomial Regression

Noah Simon·Jerome Friedman·Trevor Hastie
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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.

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Noah Simon, Jerome Friedman, Trevor Hastie. 2013-11-26. A Blockwise Descent Algorithm for Group-penalized Multiresponse and Multinomial Regression. https://arxiv.org/abs/1311.6529

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