[R] glmnet package: penalty.factor option

[Breheny, Patrick]

Have you tried:

pen <- rep(1,ncol(X))
pen[c(1,5,7)] <- 0
fit <- glmnet(X,y,penalty.factor=pen)


-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Brian H. Chen
Sent: Wednesday, April 27, 2011 12:01 PM
To: r-help at r-project.org
Subject: [R] glmnet package: penalty.factor option

Anyone have experience specifying the "penalty.factor" option in the
"glmnet" command?

I have 3 variables (out of a million genotype variables) that I want to
force into the model (i.e., set penalty factor to 0), but I can't figure out
how to do that.

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