grpreg
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`grpreg` objective function inconsistency
There is an inconsistency in documentation and vignettes for grpreg
objective function:
- Instruction on page 15 defines the objective function as $$Q = \frac{1}{n} * loss + penalty$$
- Models vignette defines the objective function as $$Q = \frac{1}{n} * loss + penalty$$
- Penalties vignette, however, defines the objective function differently as $$Q = loss + penalty$$
I have tested the results of grpreg
with glmnet
on some examples and they are the same, so looking at glmnet
objective function for Gaussian families I conclude that 1. and 2. are correct. Could you please update the Penalties vignette?