Gradient Directed Regularization for Linear Regression and Classification
PathSeeker implements the robust regularized linear regression and classification procedures described in Gradient directed regularization for linear regression and classification (Friedman & Popescu 2004). It runs on PC compatible computers under Windows or Linux.
There are two different implementations:
PSlite stand alone package that can be executed from a command window (download)
R/PathSeeker interface to the statistical package R (download)
Both implement all of the features described in Friedman & Popescu 2004.