ElasticNetModel.h

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#ifndef WIRECELLRESS_ELASTICNETMODEL_H
#define WIRECELLRESS_ELASTICNETMODEL_H

#include "WireCellRess/LinearModel.h"
#include <vector>
#include <Eigen/Dense>

namespace WireCell {

class ElasticNetModel: public LinearModel {
public:
    ElasticNetModel(double lambda=1., double alpha=1., int max_iter=100000, double TOL=1e-3, bool non_negtive=true);
    ~ElasticNetModel();

    double lambda; // regularization parameter
    double alpha; // L1 ratio (L2 ratio = 1 - alpha)
    int max_iter; // maximum iteration
    double TOL;
    bool non_negtive;
    Eigen::VectorXd lambda_weight; // each beta can have a weight on its regularization, default weight is 1;

    void SetLambdaWeight(Eigen::VectorXd w) { lambda_weight = w; }
    void SetLambdaWeight(int i, double weight) { lambda_weight(i) = weight; }
    void SetX(Eigen::MatrixXd X) { LinearModel::SetX(X); SetLambdaWeight(Eigen::VectorXd::Zero(X.cols()) + Eigen::VectorXd::Constant(X.cols(),1.)); }
    virtual void Fit();

protected:
    double _soft_thresholding(double x, double lambda_);
    std::vector<bool> _active_beta;
};

}

#endif