Hi, beginner
Do you have reproducible data?  I think your question is more related to
statistical learning theory than R.  You may want to watch Prof.Hastie's
webinar.  http://www.stanford.edu/~hastie/lectures.htm


On Wed, Jun 5, 2013 at 10:22 AM, beginner <paxkn@nottingham.ac.uk> wrote:

> I would like to compare models selected with ridge, lasso and elastic net.
> Fig. below shows coefficients paths using all 3 methods: ridge (Fig A,
> alpha=0), lasso (Fig B; alpha=1) and elastic net (Fig C; alpha=0.5). The
> optimal solution depends on the selected value of lambda, which is chosen
> based on cross validation.
>
> <http://r.789695.n4.nabble.com/file/n4668722/regularization.jpg>
>
> When looking at these plots, I would expect the elastic net (Fig C) to
> exhibit a grouping effect. However it is not clear in the presented case.
> The coefficients path for lasso and elastic net are very similar. What
> could
> be the reason for this ? Is it just a coding mistake ? I used the following
> code in R:
>
>
> library(glmnet)
> X<- as.matrix(mydata[,2:22])
> Y<- mydata[,23]
> par(mfrow=c(1,3))
> ans1<-cv.glmnet(X, Y, alpha=0) # ridge
> plot(ans1$glmnet.fit, "lambda", label=FALSE)
>     text (6, 0.4, "A", cex=1.8, font=1)
>     ans2<-cv.glmnet(X, Y, alpha=1) # lasso
>     plot(ans2$glmnet.fit, "lambda", label=FALSE)
> text (-0.8, 0.48, "B", cex=1.8, font=1)
> ans3<-cv.glmnet(X, Y, alpha=0.5) # elastic net
> plot(ans3$glmnet.fit, "lambda", label=FALSE)
> text (0, 0.62, "C", cex=1.8, font=1)
>
>
> The code used to plot elastic net coefficients paths is exactly the same as
> for ridge and lasso. The only difference is in the value of alpha. Alpha
> parameter for elastic net regression was selected based on the lowest MSE
> (mean squared error) for corresponding lambda values.
>
> Thank you for your help !
>
>
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Coefficients-paths-comparison-of-ridge-lasso-and-elastic-net-regression-tp4668722.html
> Sent from the R help mailing list archive at Nabble.com.
>
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> and provide commented, minimal, self-contained, reproducible code.
>

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