Main function for local feature selection

loc.feature.selection(
  X_full,
  Y_full,
  X_train,
  Y_train,
  X_valid,
  Y_valid,
  alpha = 1,
  lambda_lst = NULL,
  up_rate = 10,
  drop_rate = 0.5,
  cos_cut = 0.1,
  add.ridge = TRUE
)

Arguments

X_full

...

Y_full

...

X_train

...

Y_train

...

X_valid

...

Y_valid

...

alpha

...

lambda_lst

...

up_rate

...

drop_rate

...

cos_cut

...

add.ridge

...