Hi,
I am trying to use the glmnet package to do some simple feature selection.
However, I would ideally like to be able to specify the number of features
to return (the glmnet package, as far as I can tell, only allows
specification of a regularization parameter, lambda, that in turn returns a
model with a specific number of non-zero features).
Is there a straightforward way of calculating the lambda value that will
return a specific number of features? I realize there is a range of lambdas
that should give a certain number of non-zero features, but is there an easy
way of figuring out what this range is?
Thanks!
Brian
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