[R] glmnet with binary logistic regression
patrick.breheny at uky.edu
Sat Jul 23 12:33:03 CEST 2011
On 07/22/2011 07:51 PM, fongchun wrote:
> I am using the glmnet R package to run LASSO with binary logistic
> What I am finding is that this optimal lambda value fluctuates
> everytime I run glmnet with LASSO.
> Does anyone know why there is such a fluctuation in the
> generation of an optimal lambda?
Cross-validation is a random procedure, and the results will vary every
time. This reflects the underlying uncertainty regarding the optimal
Or are you saying that you've used glmnet many times, but this time, the
fluctuations in lambda are much larger than usual? If so, and you
suspect a problem with the way that glmnet is partitioning the data set
into cross-validation folds, you can specify that with the 'foldid' option.
Department of Biostatistics
Department of Statistics
University of Kentucky
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