Elastic net penalty value

Returns the elastic net penalty value without the lambda factor.

pen_function(coefficients, alpha = 1, vp = 1)

Arguments

coefficients

The model's coefficients (excluding intercept).

alpha

The elasticnet mixing parameter, with \(0 \le \alpha \le 1\).

vp

Penalty factors for each of the coefficients.

Details

The penalty is defined as $$(1-\alpha)/2 \sum vp_j \beta_j^2 + \alpha \sum vp_j |\beta|.$$ Note the omission of the multiplicative lambda factor.