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necronet/lambda_selection_glmnet.R

Created June 18, 2020 04:26
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Quick gist to show lambda selection difference between explicit and heuristic
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lambda_selection_glmnet.R
library(glmnet)
x_var <- data.matrix(mtcars[, c("hp", "wt", "drat")])
y_var <- mtcars[, "mpg"]
fit_lambda_specified <- cv.glmnet(x_var, y_var, alpha = 0, lambda = 10^seq(5, -5, by = -.1))
fit_lambda_automatic <- cv.glmnet(x_var, y_var, alpha = 0)
plot(fit_lambda_specified, xvar="lambda")
plot(fit_lambda_automatic, xvar="lambda")
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