There is an inconsistency in documentation and vignettes for grpreg objective function:
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Instruction on page 15 defines the objective function as $$Q = \frac{1}{n} * loss + penalty$$
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Models vignette defines the objective function as $$Q = \frac{1}{n} * loss + penalty$$
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Penalties vignette, however, defines the objective function differently as $$Q = loss + penalty$$
I have tested the results of grpreg with glmnet on some examples and they are the same, so looking at glmnet objective function for Gaussian families I conclude that 1. and 2. are correct. Could you please update the Penalties vignette?
There is an inconsistency in documentation and vignettes for
grpregobjective function:I have tested the results of
grpregwithglmneton some examples and they are the same, so looking atglmnetobjective function for Gaussian families I conclude that 1. and 2. are correct. Could you please update the Penalties vignette?