On 07/22/2011 07:51 PM, fongchun wrote:
I am using the glmnet R package to run LASSO with binary logistic regression. ... What I am finding is that this optimal lambda value fluctuates everytime I run glmnet with LASSO.
> ...
Does anyone know why there is such a fluctuation in the generation of an optimal lambda?
Cross-validation is a random procedure, and the results will vary every time. This reflects the underlying uncertainty regarding the optimal lambda.
Or are you saying that you've used glmnet many times, but this time, the fluctuations in lambda are much larger than usual? If so, and you suspect a problem with the way that glmnet is partitioning the data set into cross-validation folds, you can specify that with the 'foldid' option.
-- Patrick Breheny Assistant Professor Department of Biostatistics Department of Statistics University of Kentucky ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
