[R] GLM with regularization

[Bert Gunter]

Google is your friend! -- as usual.

If you had searched on "glm with regularization" you would have bumped
into the glmnet R package, which I think is what you're looking for.

-- Bert

On Wed, Feb 29, 2012 at 6:22 PM, Dmitriy Lyubimov <dlieu.7 at gmail.com> wrote:
> Hello,
>
> Thank you for probably not so new question, but i am new to R.
>
> Does any of packages have something like glm+regularization? So far i
> see probably something close to that as a ridge regression in MASS but
> I think i need something like GLM, in particular binomial regularized
> versions of polynomial regression.
>
> Also I am not sure how some of the K-fold crossvalidation helpers out
> there (cv.glm) could be used to adjust reg rate as there seems to be
> no way to apply them over data not used for training (or  i am not
> seeing a solution here as training is completely separated from
> crossvalidation error computation here) .
>
> The example here in cv.glm doesn't look right to me since it computes
> cv error over model trained on 100% of data. (e.g. wikipedia
> crossvalidation article lists this as an example of misuse of K-fold
> CV).
>
>
> ----- doc quote ----
> # leave-one-out and 6-fold cross-validation prediction error for
> # the mammals data set.
> data(mammals, package="MASS")
> mammals.glm <- glm(log(brain)~log(body),data=mammals)
> cv.err <- cv.glm(mammals,mammals.glm)
> cv.err.6 <- cv.glm(mammals, mammals.glm, K=6)
> ---- end of quote ---
>
>
> Those seem to be pretty common techniques, any poniter in the right
> direction (package) will be greatly appreciated.
>
> thank you very much.
> -Dmitriy
>
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-- 

Bert Gunter
Genentech Nonclinical Biostatistics

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