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Tips:Implement Elastic Net Algorithm in SAS

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Elastic Net is a new variable selection algorithm proposed by Zou, H and Hastie, T (2005). This variable selection algorithm shows superior properties over LASSO and other older automatic variable selection mechanisms.

While this method is not readily available in SAS right now, it is possible to tweak PROC GLMSELECT in order to implement Elastic Net for normal least square problems. The core idea is to use augumented data for ridge regression and to leverage the L1 optimization capability of PROC GLMSELECT. See the link below.

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Submitted By Liang Xie