[R-lang] lrm penalty/regularization/norm

[Roger Levy]

Lucien Carroll wrote:
> Hello,
> 
> I would like to specify a L1-norm (Laplace) regularization for a 
> logistic regression, and I'm having trouble figuring out how to do that. 
> Do I understand that documentation right in thinking that the penalty 
> argument in lrm() is setting the width of a Gaussian (L2-norm)? Is 
> L1-norm possible with lrm() or should I be looking at some other function?

Hi Lucien,

Yes, penalization lrm() is Gaussian (L2).  I haven't used R for L1 
penalization, but you might check out the lars package: it implements 
the lasso, which is L1-penalized.  However, I don't think that lars 
covers logistic regression.  (You might get additional info from a 
posting on the general R-help list.)

Roger

-- 

Roger Levy                      Email: rlevy at ling.ucsd.edu
Assistant Professor             Phone: 858-534-7219
Department of Linguistics       Fax:   858-534-4789
UC San Diego                    Web:   http://ling.ucsd.edu/~rlevy