[pymvpa] New Elastic Net classifier

[Michael Hanke]

On Tue, Feb 24, 2009 at 01:35:03PM -0500, Per B. Sederberg wrote:
> It's actually pretty slow and the time it takes scales (non-linearly)
> with the number of features.  I've had to do a feature selection step
> first to get it in the range of acceptability.  You are likely running
> into memory issues, too (i.e., swapping quite a bit), but I could be
> wrong.  I'm not sure this speed issue is a problem of it being in R or
> rather that the algorithm is slowish.

Memory seems to be fine -- between 15 and 25% of the 12 Gigs.

> Can you try performing an easy feature selection of say 5-10K
> features, first?  One to try might be the new feature stability
> measure I added that looks for the most stable features across runs
> for each label (different from ANOVA):
> 
> stab_enet = FeatureSelectionClassifier(
>     ENET(lm=1.0,max_steps=500,trace=False,normalize=False),
>     SensitivityBasedFeatureSelection(
>     CorrStability(),
>     FixedNElementTailSelector(5000,mode='select',tail='upper')),
>     descr="ENET on 5K best(CorrStability) features")

Thanks for the code -- will try it now.

Michael


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