This note discusses shrinkage methods available in SAS including LASSO, ridging, and elastic net. The note provides a link to a paper by Gunes (2015) which discusses LASSO and elastic net and illustrates these methods using PROC GLMSELECT. In addition, the note shows how LASSO (L1 regularization), ridging (L2 regularization), and elastic net (combination of L1 and L2 regularization) can be directly implemented in PROC NLMIXED which allows you to have direct control over the penalties that these methods add to the likelihood function. Several examples using NLMIXED are provided as well as an example of using LASSO in PROC HPGENSELECT to fit a logistic model.
See this note for quick pointers to procedures implementing any of these methods as well as LAR and many other statistics and methods.
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