[R] Feature selection via glmnet package (LASSO)

[Lai Jiang]

   Hello,

   I'm trying to select features of cetain numbers(like 100 out of 1000) via
   LASSO, based on multinomial model, however, it seems the glmnet package
   provides a very sparse estimation of coefficients(most of coefficients are
   0), which selects very few number of variables, like only 10, based on my
   easy dataset.

   I try to connect the choice of lambda to the selecting numbers, but it seems
   the choice is close to 0 and very sensitive.

   Can someone help me or point me to another package to do that?

   Thanks.


   Lai