`glmnet.fit.Rd`

Fit a generalized linear model via penalized maximum likelihood for a single value of lambda. Can deal with any GLM family.

- x
Input matrix, of dimension

`nobs x nvars`

; each row is an observation vector. If it is a sparse matrix, it is assumed to be unstandardized. It should have attributes`xm`

and`xs`

, where`xm(j)`

and`xs(j)`

are the centering and scaling factors for variable j respsectively. If it is not a sparse matrix, it is assumed that any standardization needed has already been done.- y
Quantitative response variable.

- weights
Observation weights.

`glmnet.fit`

does NOT standardize these weights.- lambda
A single value for the

`lambda`

hyperparameter.- alpha
The elasticnet mixing parameter, with \(0 \le \alpha \le 1\). The penalty is defined as $$(1-\alpha)/2||\beta||_2^2+\alpha||\beta||_1.$$

`alpha=1`

is the lasso penalty, and`alpha=0`

the ridge penalty.- offset
A vector of length

`nobs`

that is included in the linear predictor. Useful for the "poisson" family (e.g. log of exposure time), or for refining a model by starting at a current fit. Default is NULL. If supplied, then values must also be supplied to the`predict`

function.- family
A description of the error distribution and link function to be used in the model. This is the result of a call to a family function. Default is

`gaussian()`

. (See`family`

for details on family functions.)- intercept
Should intercept be fitted (default=TRUE) or set to zero (FALSE)?

- thresh
Convergence threshold for coordinate descent. Each inner coordinate-descent loop continues until the maximum change in the objective after any coefficient update is less than thresh times the null deviance. Default value is

`1e-10`

.- maxit
Maximum number of passes over the data; default is

`10^5`

. (If a warm start object is provided, the number of passes the warm start object performed is included.)- penalty.factor
Separate penalty factors can be applied to each coefficient. This is a number that multiplies

`lambda`

to allow differential shrinkage. Can be 0 for some variables, which implies no shrinkage, and that variable is always included in the model. Default is 1 for all variables (and implicitly infinity for variables listed in exclude). Note: the penalty factors are internally rescaled to sum to`nvars`

.- exclude
Indices of variables to be excluded from the model. Default is none. Equivalent to an infinite penalty factor.

- lower.limits
Vector of lower limits for each coefficient; default

`-Inf`

. Each of these must be non-positive. Can be presented as a single value (which will then be replicated), else a vector of length`nvars`

.- upper.limits
Vector of upper limits for each coefficient; default

`Inf`

. See`lower.limits`

.- warm
Either a

`glmnetfit`

object or a list (with names`beta`

and`a0`

containing coefficients and intercept respectively) which can be used as a warm start. Default is`NULL`

, indicating no warm start. For internal use only.- from.glmnet.path
Was

`glmnet.fit()`

called from`glmnet.path()`

? Default is FALSE.This has implications for computation of the penalty factors.- save.fit
Return the warm start object? Default is FALSE.

- trace.it
Controls how much information is printed to screen. If

`trace.it=2`

, some information about the fitting procedure is printed to the console as the model is being fitted. Default is`trace.it=0`

(no information printed). (`trace.it=1`

not used for compatibility with`glmnet.path`

.)

An object with class "glmnetfit" and "glmnet". The list returned contains more keys than that of a "glmnet" object.

- a0
Intercept value.

- beta
A

`nvars x 1`

matrix of coefficients, stored in sparse matrix format.- df
The number of nonzero coefficients.

- dim
Dimension of coefficient matrix.

- lambda
Lambda value used.

- dev.ratio
The fraction of (null) deviance explained. The deviance calculations incorporate weights if present in the model. The deviance is defined to be 2*(loglike_sat - loglike), where loglike_sat is the log-likelihood for the saturated model (a model with a free parameter per observation). Hence dev.ratio=1-dev/nulldev.

- nulldev
Null deviance (per observation). This is defined to be 2*(loglike_sat -loglike(Null)). The null model refers to the intercept model.

- npasses
Total passes over the data.

- jerr
Error flag, for warnings and errors (largely for internal debugging).

- offset
A logical variable indicating whether an offset was included in the model.

- call
The call that produced this object.

- nobs
Number of observations.

- warm_fit
If

`save.fit=TRUE`

, output of C++ routine, used for warm starts. For internal use only.- family
Family used for the model.

- converged
A logical variable: was the algorithm judged to have converged?

- boundary
A logical variable: is the fitted value on the boundary of the attainable values?

- obj_function
Objective function value at the solution.

WARNING: Users should not call `glmnet.fit`

directly. Higher-level functions
in this package call `glmnet.fit`

as a subroutine. If a warm start object
is provided, some of the other arguments in the function may be overriden.

`glmnet.fit`

solves the elastic net problem for a single, user-specified
value of lambda. `glmnet.fit`

works for any GLM family. It solves the
problem using iteratively reweighted least squares (IRLS). For each IRLS
iteration, `glmnet.fit`

makes a quadratic (Newton) approximation of the
log-likelihood, then calls `elnet.fit`

to minimize the resulting
approximation.

In terms of standardization: `glmnet.fit`

does not standardize `x`

and `weights`

. `penalty.factor`

is standardized so that they sum up
to `nvars`

.