Penalties#
Penalty objects are the low-level interface behind selection_penalty= and
spline_penalty=. Prefer the model-level arguments; reach for these classes
when you need a specific group structure or an adaptive weighting.
Group elastic net: lambda1 * [alpha * group_L2 + (1-alpha)/2 * L2^2]. |
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Group lasso penalty: lambda1 * sum_g(w_g * ||beta_g||_2). |
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Sparse group lasso: lambda1 * [(1-alpha) * group_L2 + alpha * L1]. |
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Ridge penalty: lambda1 * ||beta||_2^2 / 2. |
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Adaptive weighting flavor. |