sglOptim: Generic Sparse Group Lasso Solver

Fast generic solver for sparse group lasso optimization problems. The loss (objective) function must be defined in a C++ module. The optimization problem is solved using a coordinate gradient descent algorithm. The algorithm is applicable to a broad class of convex loss functions. Convergence of the algorithm is established (see reference). 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. Development version is on github, please report package issues on github.

Author
Martin Vincent
Date of publication
2016-09-28 17:10:54
Maintainer
Martin Vincent <martin.vincent.dk@gmail.com>
License
GPL (>= 2)
Version
1.3.0
URLs

View on CRAN

Man pages

best_model
Index of best model
best_model.sgl
Index of best model
coef.sgl
Extracting the nonzero coefficients
compute_error
Helper function for computing error rates
create.sgldata
Create a sgldata object
Err
Generic function for computing error rates
features
Extracts nonzero features
features.sgl
Extracting nonzero features
features_stat
Extract feature statistics
features_stat.sgl
Extract feature statistics
get_coef
Get the nonzero coefficients
models
Extract fitted models
models.sgl
Extract the estimated models
nmod
Number of models used for fitting
nmod.sgl
Returns the number of models in a sgl object
parameters
Extracts nonzero parameters
parameters.sgl
Extracting nonzero parameters
parameters_stat
Extract parameter statistics
parameters_stat.sgl
Extracting parameter statistics
prepare.args
Generic function for preparing the sgl call arguments
prepare.args.sgldata
Prepare sgl function arguments
print_with_metric_prefix
Print a numeric with metric prefix
rearrange
Generic rearrange function
rearrange.sgldata
Rearrange sgldata
sgl.algorithm.config
Create a new algorithm configuration
sgl.c.config
Featch information about the C side configuration of the...
sgl_cv
Generic sparse group lasso cross validation using multiple...
sgl_fit
Fit a sparse group lasso regularization path.
sgl_lambda_sequence
Generic routine for computing a lambda sequence for the...
sgl_predict
Sgl predict
sgl_print
Print information about sgl object
sgl.standard.config
Standard algorithm configuration
sgl_subsampling
Generic sparse group lasso subsampling procedure
sgl_test
Test a sgl-Objective
subsample
Subsample
subsample.sgldata
Subsample sgldata
test.data
Simulated data set

Files in this package

sglOptim
sglOptim/inst
sglOptim/inst/CITATION
sglOptim/inst/NEWS.Rd
sglOptim/inst/include
sglOptim/inst/include/tools.h
sglOptim/inst/include/sgl.h
sglOptim/inst/include/rtools.h
sglOptim/inst/include/sgl
sglOptim/inst/include/sgl/sgl_problem.h
sglOptim/inst/include/sgl/objective
sglOptim/inst/include/sgl/objective/sgl_gl_loss_sparse.h
sglOptim/inst/include/sgl/objective/sgl_gl_loss_dense.h
sglOptim/inst/include/sgl/objective/simplifier.h
sglOptim/inst/include/sgl/objective/linear_response.h
sglOptim/inst/include/sgl/objective/sgl_gl_loss_base.h
sglOptim/inst/include/sgl/objective/sgl_matrix_data.h
sglOptim/inst/include/sgl/objective/linear_predictor.h
sglOptim/inst/include/sgl/error.h
sglOptim/inst/include/sgl/RInterface
sglOptim/inst/include/sgl/RInterface/sgl_subsampling.h
sglOptim/inst/include/sgl/RInterface/sgl_fit.h
sglOptim/inst/include/sgl/RInterface/sgl_predict.h
sglOptim/inst/include/sgl/RInterface/sgl_lambda_seq.h
sglOptim/inst/include/sgl/RInterface/sgl_test.h
sglOptim/inst/include/sgl/block_vector.h
sglOptim/inst/include/sgl/simple_timer.h
sglOptim/inst/include/sgl/numeric.h
sglOptim/inst/include/sgl/sgl_optimizer.h
sglOptim/inst/include/sgl/algorithm_config.h
sglOptim/inst/include/sgl/arma_additions.h
sglOptim/inst/include/sgl/objective_function_type.h
sglOptim/inst/include/sgl/sgl_tester.h
sglOptim/inst/include/sgl/interface_basic.h
sglOptim/inst/include/sgl/dim_config.h
sglOptim/inst/include/rtools
sglOptim/inst/include/rtools/rObject_def.h
sglOptim/inst/include/rtools/rObject_decl.h
sglOptim/inst/include/rtools/rList.h
sglOptim/inst/include/rtools/get_value.h
sglOptim/tests
sglOptim/tests/C_grouping_test_4.R
sglOptim/tests/B_fit_test_1.R
sglOptim/tests/C_grouping_test_1.R
sglOptim/tests/D_cv_test_1.R
sglOptim/tests/D_cv_test_2.R
sglOptim/tests/D_cv_test_4.R
sglOptim/tests/E_subsampling_test_1.R
sglOptim/tests/C_grouping_test_2.R
sglOptim/tests/C_grouping_test_3.R
sglOptim/tests/E_subsampling_test_3.R
sglOptim/tests/B_fit_test_3.R
sglOptim/tests/A_lambda_sequence_test_2.R
sglOptim/tests/H_configuration_test.R
sglOptim/tests/B_fit_test_4.R
sglOptim/tests/B_fit_test_2.R
sglOptim/tests/A_lambda_sequence_test_1.R
sglOptim/tests/D_cv_test_3.R
sglOptim/tests/G_parallel_test.R
sglOptim/tests/E_subsampling_test_2.R
sglOptim/tests/F_obj_tester_1.R
sglOptim/src
sglOptim/src/Makevars
sglOptim/src/test_objective.h
sglOptim/src/only_for_testing.cpp
sglOptim/src/pkg_c_config.h
sglOptim/NAMESPACE
sglOptim/data
sglOptim/data/TestData.RData
sglOptim/R
sglOptim/R/sgl_test.R
sglOptim/R/sgl_cv.R
sglOptim/R/sgl_navigate.R
sglOptim/R/sgl_fit.R
sglOptim/R/startup.R
sglOptim/R/prepare_args.R
sglOptim/R/sgl_subsampling.R
sglOptim/R/sgl_predict.R
sglOptim/R/lambda_sequence.R
sglOptim/R/sgl_config.R
sglOptim/MD5
sglOptim/DESCRIPTION
sglOptim/man
sglOptim/man/models.Rd
sglOptim/man/sgl_predict.Rd
sglOptim/man/Err.Rd
sglOptim/man/parameters.sgl.Rd
sglOptim/man/prepare.args.Rd
sglOptim/man/sgl.c.config.Rd
sglOptim/man/parameters_stat.sgl.Rd
sglOptim/man/best_model.sgl.Rd
sglOptim/man/get_coef.Rd
sglOptim/man/sgl.standard.config.Rd
sglOptim/man/test.data.Rd
sglOptim/man/features.Rd
sglOptim/man/sgl_print.Rd
sglOptim/man/sgl_test.Rd
sglOptim/man/coef.sgl.Rd
sglOptim/man/rearrange.Rd
sglOptim/man/features_stat.Rd
sglOptim/man/rearrange.sgldata.Rd
sglOptim/man/sgl.algorithm.config.Rd
sglOptim/man/nmod.Rd
sglOptim/man/subsample.Rd
sglOptim/man/sgl_fit.Rd
sglOptim/man/parameters.Rd
sglOptim/man/sgl_cv.Rd
sglOptim/man/features.sgl.Rd
sglOptim/man/nmod.sgl.Rd
sglOptim/man/features_stat.sgl.Rd
sglOptim/man/create.sgldata.Rd
sglOptim/man/best_model.Rd
sglOptim/man/prepare.args.sgldata.Rd
sglOptim/man/sgl_lambda_sequence.Rd
sglOptim/man/compute_error.Rd
sglOptim/man/sgl_subsampling.Rd
sglOptim/man/parameters_stat.Rd
sglOptim/man/print_with_metric_prefix.Rd
sglOptim/man/models.sgl.Rd
sglOptim/man/subsample.sgldata.Rd