[Gretl-devel] Re: towards packages with R in the background
Am 26.10.19 um 17:57 schrieb Riccardo (Jack) Lucchetti:
On Sat, 26 Oct 2019, Sven Schreiber wrote:
> In particular -it's not a secret- Artur and I have been working on a
> partial wrapper for R's glmnet package. It's not finished yet, but
> probably would be ready this Winter.
That would be excellent.
However, I consider it of the highest importance to have a native
implementation of LASSO (at least, but elastic net would be nice too)
ready as soon as time allows. Allin and I talked about it briefly in
June. I guess we could start thinking about it.
Having a built-in LASSO would be cool of course. Some time ago I was
looking for existent C-based implementations. On github one find some
existent libraries. Of course: No idea how well and accurate they work
and whether stuff is properly tested. But maybe there exists some
well-written library similar to libsvm.
Still, the glmnet library offers support for several types of models:
gaussian, multinomial, cox etc. Not sure whether you plan to support all
of these - I guess not as this involves a lot of work. Hence, the the
glmnet wrapper could still support _additional _ model types.
Best,
Artur