how to install glmnet package in Matlab?

Hello guys, i want to use the glmnet functin wich included in glmnet package.

i downloaded this package but i don't know how to integrate it in MATLAB.

Do anyone can help me in how to integrate this package in Matlab ?

I appreciate any help!

Answer 1

[Star Strider]

I have not used it. However, it can be downloaded as glmnet_matlab.zip so you most likely need to unzip it to a sub-directory on your MATLAB search path (see: What is the MATLAB Search Path? for details), add that directory to your MATLAB search path so MATLAB can find the folder, then use it as referred to in the Glmnet documentation.

[chocho]

@Star Strider Thanks a lot!

Another question plz is this function right? i want to perform elastic net with apha=0.5 bu using glmnet function

options.alpha=0.5;
fit = glmnet(x, y,[],options.alpha);

[Star Strider]

As always, my pleasure!

I have not installed ‘glmnet’ or worked with it, so I have no experience with it.

The only way to find out if your code is correct is to see if your code works with ‘glmnet’ and gives you a reasonable result. Also, if ‘options.alpha’ is the statistical significance you want the function to test, and if you want 95% confidence limits, settiing it to 0.05 instead is likely to give you the correct result.

[Penning Yu]

I used glmnet in matlab a couple of years ago but I haven't used it for a while.

As far as I know, the glmnet only works for older versions of matlab(< 2016).

It is a shame because glmnet works much faster than lassoglm.

[Chris Angeloni]

Also, @Star Strider, options.alpha doesn't set a significance value, it is a mixing parameter between a lasso-regularized vs ridge-regularized GLM. alpha = 0 is lasso, alpha = 1 is ridge

Answer 2

[Chris Angeloni]

I can confirm that this works on Matlab 2019a, but it requires a fortran compiler (I used Intel Parallel Studio XE 2019, which unfortunately required me to register for a free student trial to install).

First download the glmnet package, unzip it and add it to the matlab path. Then install a fortran compiler that works with your version of Matlab and OS.

Once you have set mex -setup to use this compiler (I think the command was:

mex -setup fortran

run the mexAll.m script in the glmnet folder.

This is what worked for me on Mac OSX 10.14.6 on Matlab2019a

[Richard Warren]

This worked, but I had to install Microsoft Visual Studio before the student trial of Intel Parallel Studio XE 2019. Thank you!