Generalized Path Seeking algorithm with R
Hello,
Has anybody tried to use Generalized Path Seeking algorithm introduced by Jerome H. Friedman and implemented using R? :
http://www-stat.stanford.edu/~jhf/r-gps/GPShelp.html
I have a problem using it and I hope that you could help me. I have tried to run the GPS model for penalized logistic Ridge and logistic Lasso regressions on my dataset, but it seems that I am doing something wrong, because I am getting not very good results.
I think the problem is with the definition of data for variable y. According to GPS help: 'For classification (mode="class") variable y is a numeric matrix with two columns respectively containing the number of each of the two classes at the design points (rows).'
So for y matrix's second column I've tried to put 1 for actual goods and 0 for bads and for the first – inverse of the value of second column, but it seems that it is not right.
Does anybody have an idea how the first column has to be defined?
I would be very grateful.
Andrius
