Is there a way to fit an adaptive elastic-net model with glmnet ? In other words, I would want my "penalty.factor" parameter applied only to the L1 penalty of the model and to keep the same level of L2 penalty.
I would like to be able to reproduce the algorithm described in this paper :
https://projecteuclid.org/euclid.aos/1245332831
I know the R package gcdnet is able to fit such models, but the computational time is far higher than with glmnet.
Thanks
Best Answer
No, the glmnet package allows you to specify penalization factors for each feature, but this applies to both L1 and L2 norm equally.
However, there is a package called gcdnet which allows fitting of adaptive elastic net models. The intersections of authors of the paper you cite and authors of the package is not empty, so this would probably your best option.
Disclaimer: I have not worked with either the adaptive elastic net or the gcdnet, so don't regard this as a recommendation of either the package or the method.