lsgl: Linear Multiple Output Sparse Group Lasso

Linear multiple output using sparse group lasso. The algorithm finds the sparse group lasso penalized maximum likelihood estimator. This result in feature and parameter selection, and parameter estimation. Use of parallel computing for cross validation and subsampling is supported through the 'foreach' and 'doParallel' packages. Development version is on GitHub, please report package issues on GitHub.

Package details

AuthorMartin Vincent
MaintainerMartin Vincent <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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lsgl documentation built on May 29, 2017, 11:43 a.m.