Custom link function in h2o.glm

Question

I looked for a generalized linear model implementation with regularization. I found that glmnet does not allow custom link function. However, h2o takes link function type as a parameter. Is it possible to define and use a custom link function under a family (optimization problem is same) in h2o?

Answer 1

The answer depends on how badly you need it...

No: you have to use one of the built-in link functions, and cannot pass your own through the API.

Yes: it is open-source, so you could hack in your custom link function to the Java back-end, give it a name, recompile, and then it should be available from the API.

I poked around in the Java source a bit, hoping to be able to give you a single link in a single file where you add your code. But it looks more complicated than that, I think it is a non-trivial project. (If you have more budget than time, becoming a paying h2o.ai customer, and making a feature request is likely to be the quickest way to get it done!)