Support for box constraints on fitted coefficients?

[tomwenseleers]

In glmnet it is possible to specify box constraints or nonnegativity constraints on the fitted coefficients using the lower.limits and upper.limits argument. I was wondering if it would be hard to incorporate this kind of capability also in ncvreg?

[pbreheny]

Interesting suggestion. No, it wouldn't be very hard to implement this in ncvreg. I'll think about it!

[tomwenseleers]

Do you think it might be possible to implement this? I'm still looking for this... Right now the only package with MCP or SCAD penalties with support for box constraints is ordinis, https://github.com/jaredhuling/ordinis/blob/master/src/CoordGLMDense.h, but that's not yet on CRAN, so right now impossible to have as a dependency in other packages... I think it's just a matter of clipping the coefficients within the allowed range...