Penalised Multivariate Regression ('Multi-Target Learning').
Multivariate elastic net regression
Implements multivariate ("multi-target") elastic net regression through stacked generalisation (i.e., for multiple outcomes and many features).
Installation
Install the current release from CRAN:
install.packages("joinet")
or the latest development version from GitHub:
#install.packages("remotes")
remotes::install_github("rauschenberger/joinet")
Reference
Armin Rauschenberger 
and Enrico Glaab (2021). "Predicting correlated outcomes from molecular data”. Bioinformatics 37(21):3889–3895. doi: 10.1093/bioinformatics/btab576.
Disclaimer
The R package joinet implements multivariate elastic net regression through stacked generalisation (Rauschenberger & Glaab, 2021).
Copyright © 2019 Armin Rauschenberger, University of Luxembourg, Luxembourg Centre for Systems Biomedicine (LCSB), Biomedical Data Science (BDS)
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with this program. If not, see http://www.gnu.org/licenses/.