A New Algorithm in Maximum Likelihood Estimation for Generalized Linear Models

Yufang Wen, Xiangdong Song and Haisen Zhang

Modern Applied Science, 2008, vol. 2, issue 5, 86

Abstract: We intrduce a new algorithm for  regularized generalized linear models. The  regularization procedure is useful,especially because it ,in effect,selects variables according to the amount of penalization on the  norm of the coefficients,in a manner less greedy than forward selection/backward deletion. The algorithm efficiently computes solutions along the entire regularization path using the predictor-corrector method of convex-optimization. Selecting the step length of the regularization parameter is critical in controlling the overall accuracy of the paths; we suggest intuitive and flexible strategies for choosing appropriate values.

Date: 2008
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