Use the DAL Elastic Net Algorithm
en_dal_options(
max_it = 100,
max_inner_it = 100,
eta_multiplier = 2,
eta_start_conservative = 0.01,
eta_start_aggressive = 1,
lambda_relchange_aggressive = 0.25
)maximum number of (outer) iterations.
maximum number of (inner) iterations in each outer iteration.
multiplier for the barrier parameter. In each iteration, the barrier must be more restrictive (i.e., the multiplier must be > 1).
conservative initial barrier parameter. This is used if the previous penalty is undefined or too far away.
aggressive initial barrier parameter. This is used if the previous penalty is close.
how close must the lambda parameter from the previous penalty term be to use an aggressive initial barrier parameter (i.e., what constitutes "too far").
options for the DAL EN algorithm.
Other EN algorithms:
en_admm_options(),
en_cd_options(),
en_lars_options()