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elnet.m
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elnet.m
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function fit = elnet(x, is_sparse, irs, pcs, y, weights, offset, gtype, ...
parm, lempty, nvars, jd, vp, cl, ne, nx, nlam, flmin, ulam, thresh, ...
isd, intr, maxit, family)
ybar = y' * weights/ sum(weights);
nulldev = (y' - ybar).^2 * weights;
ka = find(strncmp(gtype,{'covariance','naive'},length(gtype)),1);
if isempty(ka)
error('unrecognized type');
end
if isempty(offset)
offset = y * 0;
is_offset = false;
else
is_offset = true;
end
if is_sparse
task = 10;
[lmu,a0,ca,ia,nin,rsq,alm,nlp,jerr] = glmnetMex(task,parm,x,y-offset,jd,vp,ne,nx,nlam,flmin,ulam,thresh,isd,weights,ka,cl,intr,maxit,irs,pcs);
else
task = 11;
[lmu,a0,ca,ia,nin,rsq,alm,nlp,jerr] = glmnetMex(task,parm,x,y-offset,jd,vp,ne,nx,nlam,flmin,ulam,thresh,isd,weights,ka,cl,intr,maxit);
end
if (jerr ~= 0)
errmsg = err(jerr,maxit,nx,family);
if (errmsg.fatal)
error(errmsg.msg);
else
warning(errmsg.msg);
end
end
ninmax = max(nin);
lam = alm;
if lempty
lam = fix_lam(lam); % first lambda is infinity; changed to entry point
end
dd=[nvars, lmu];
if ninmax > 0
ca = ca(1:ninmax,:);
df = sum(abs(ca) > 0, 1);
ja = ia(1:ninmax);
[ja1,oja] = sort(ja);
beta = zeros(nvars, lmu);
beta (ja1, :) = ca(oja,:);
else
beta = zeros(nvars,lmu);
df = zeros(1,lmu);
end
fit.a0 = a0;
fit.beta = beta;
fit.dev = rsq;
fit.nulldev = nulldev;
fit.df = df';
fit.lambda = lam;
fit.npasses = nlp;
fit.jerr = jerr;
fit.dim = dd;
fit.offset = is_offset;
fit.class = 'elnet';
function new_lam = fix_lam(lam)
new_lam = lam;
if (length(lam) > 2)
llam=log(lam);
new_lam(1)=exp(2*llam(2)-llam(3));
end