glmnet 解Lasso的问题

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

在用R的包解Logistic的时候，已经画出了图，

怎么才能知道Deviance最小时，对应的Lambda呢？？

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：glmnet LASSO MNE NET logistic

给你看个例子，这个例子很好用——


library(glmnet)

age <- c(4,8,7,12,6,9,10,14,7)
gender <- c(1,0,1,1,1,0,1,0,0) ; gender<-as.factor(gender)
bmi_p <- c(0.86,0.45,0.99,0.84,0.85,0.67,0.91,0.29,0.88)
m_edu <- c(0,1,1,2,2,3,2,0,1); m_edu<-as.factor(m_edu)
p_edu <- c(0,2,2,2,2,3,2,0,0); p_edu<-as.factor(p_edu)
f_color <- c("blue", "blue", "yellow", "red", "red", "yellow", "yellow", "red", "yellow")
asthma <- c(1,1,0,1,0,0,0,1,1)

f_color <- as.factor(f_color)
xfactors <- model.matrix(asthma ~ gender + m_edu + p_edu + f_color)[,-1]
x <- as.matrix(data.frame(age, bmi_p, xfactors))
#note alpha =1 for lasso only and can blend with ridge penalty down to alpha=0 ridge only
glmmod<-glmnet(x,y=as.factor(asthma),alpha=1,family='binomial')

#plot variable coefficients vs. shrinkage parameter lambda.
plot(glmmod,xvar="lambda")
grid()
# some results

     #model shown for lambda up to first 3 selected variables. Lambda can have manual
     # tuning grid for wider range
     > glmmod
cv.glmmod <- cv.glmnet(x,y=asthma,alpha=1)
plot(cv.glmmod)
best_lambda <- cv.glmmod$lambda.min
best_lambda

更详细的解释看这里，看这里～～～
http://stats.stackexchange.com/questions/72251/an-example-lasso-regression-using-glmnet-for-binary-outcome

虚线对应的lambda分别是：

fit$lambda.min
fit$lambda.1se

fit=cv.glmnet(x,y)

谢谢楼主分享。