321 – Methods and Applications in Biomedical Data and Clinical Trials, Part 1
Generalized Elastic Net Regression
Geoffroy Mouret
École Polytechnique Montréal
Jean-Jules Brault
École Polytechnique Montréal
Vahid Partovinia
École Polytechnique Montréal
This work presents a variation of the elastic net penalization method. We propose applying a combined l1 and l2 norm penalization on a linear combination of regression parameters. This approach is an alternative to the l1-penalization for variable selection, but takes care of the correlation between the linear combination of parameters. We devise a path algorithm fitting method similar to the one proposed for the least angle regression. Furthermore, a one-shot estimation technique of l2 regularization parameter is proposed as an alternative to cross-validation. A simulation study is conducted to check the validity of the new technique.