r-penalizedSVM

Support Vector Machine (SVM) classification with simultaneous feature selection using penalty functions is implemented. The smoothly clipped absolute deviation (SCAD), 'L1-norm', 'Elastic Net' ('L1-norm' and 'L2-norm') and 'Elastic SCAD' (SCAD and 'L2-norm') penalties are available. The tuning parameters can be found using either a fixed grid or a interval search.