HighlyAdaptiveLasso

A MLJ wrapper to the R HAL package.

Installation

The project relies on RCall, if you don't want to fallback on a Conda installation, you should make sure the R_HOME environment variable is correctly set. For known issues regarding RCall compatibility look into the RCall intallation section.

You will also need to install the original HAL package in your R environment.

This wrapper can then be installed via:

add HighlyAdaptiveLasso

Usage

using HighlyAdaptiveLasso, MLJ, Random

X = randn(100, 4)
y = randn(100)

hal = HALRegressor()
mach = machine(hal, X, y)

evaluate!(mach)