Is an implementation of fractional ridge regression (FRR).
Download and copy the files from https://github.com/nrdg/fracridge/tree/master/matlab into your MATLAB path.
To install the release version:
pip install fracridge
Or to install the development version (and stay up-to-date by pulling from GitHub):
pip install -e .
To upgrade to newer release version:
pip install -U fracridge
[coef,alphas] = fracridge(X,fracs,y,tol,mode)
There's a functional API:
from fracridge import fracridge
coefs, alphas = fracridge(X, y, fracs)
Or a sklearn-compatible OO API:
from fracridge import FracRidge
fr = FracRridge(fracs=fracs)
fr.fit(X, y)
coefs = fr.coef_
alphas = fr.alpha_
https://nrdg.github.io/fracridge/
If you use fracridge, please cite our paper: "Fractional ridge regression: a fast, interpretable
reparameterization of ridge regression" (2020) GigaScience, Volume 9, Issue 12, December 2020, https://doi.org/10.1093/gigascience/giaa133 link.
For your convenience, here is the bibtex entry
@ARTICLE{fracridge2020,
title = "Fractional ridge regression: a fast, interpretable
reparameterization of ridge regression",
author = "Rokem, Ariel and Kay, Kendrick",
journal = "Gigascience",
volume = 9,
number = 12,
month = nov,
year = 2020
}