How can one do Logistic Regression optimized with a ridge regression, in SAS? According to comments here and here this should already be implemented in SAS with PROC HPGENSELECT. But how?
I am new to SAS, having come from the world of R. I am a little disoriented and having a generally hard time finding R-analogues in SAS.
Only the LASSO options on the PROC HPGENSELECT Statement are available. The default optimization routine uses ridging when required. There are no options that I can find that allow you to control the ridging.
proc hpgenselect data=blah lassorho=2 lassosteps=100 ;
<other stuff>
model <model specification>;
<other stuff>
run;
Inside SAS software family, there is no procedure directly covering the Ridge Regression this question inquired about. Ridge= option here and there on optimization routines are NOT ridge regression. You may visit lexjansen.com to search for ridge regression. There are published programs that methodically carry out what you want, mix of Base and IML, but IML is not necessarily required depending on your custom needs.
