No support for weights

[jeffwong-nflx]

Hi, it would be great to have support for a weights vector as in glmnet

[ChrisBotella]

Hello,

I met the same limitation when trying to use this package to fit a "glm" model.

More precisely, I need to optimize a loss function where each term is multiplied by a constant scalar given by the user. This corresponds to the argument "weights" of the glm function (stats package).

If the package is still maintained, it would be very usefull to add this feature and I suppose this is not very costly in term of code. However, it seemed to me this part of the code is written in C++, which I don't know how to deal with.

[tomwenseleers]

As a workaround, I suppose you can just multiple both your covariate matrix x and y by sqrt(weights) ?