sglOptim: Generic Sparse Group Lasso Solver
Version 1.3.6

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. Convergence of the algorithm is established (see reference) and the algorithm is applicable to a broad class of loss functions. 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.

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AuthorMartin Vincent
Date of publication2017-04-02 17:41:19 UTC
MaintainerMartin Vincent <martin.vincent.dk@gmail.com>
LicenseGPL (>= 2)
Version1.3.6
URL https://dx.doi.org/10.1016/j.csda.2013.06.004 https://github.com/vincent-dk/sglOptim
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("sglOptim")

Man pages

add_data: Add data to a sgldata data object
add_data.sgldata: Add data to a sgldata data object
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
element_class: Retur the element class of an object.
Err: Generic function for computing error rates
Err.sgl: 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
prepare_data: Prepare a sgldata data object
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: Computing a Lambda Sequence
sglOptim: sglOptim: Generic Sparse Group Lasso Solver
sgl_predict: 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
sparseMatrix_from_C_format: Convert to sparse matrix
sparseMatrix_to_C_format: Prepare sparse matrix for .Call
subsample: Subsample
subsample.sgldata: Subsample sgldata
test.data: Simulated data set
test_rtools: Test internal rtools
transpose_response_elements: Transpose response elements

Functions

Err Man page Source code
Err.sgl Man page Source code
add_data Man page Source code
add_data.sgldata Man page Source code
best_model Man page Source code
best_model.sgl Man page Source code
coef.sgl Man page Source code
compute_error Man page Source code
create.sgldata Man page Source code
divide_indices Source code
element_class Man page Source code
features Man page Source code
features.sgl Man page Source code
features_stat Man page Source code
features_stat.sgl Man page Source code
format_data_list Source code
format_response Source code
get_coef Man page Source code
get_response_dimension Source code
get_response_names Source code
loop_loss Source code
models Man page Source code
models.sgl Man page Source code
nmod Man page Source code
nmod.sgl Man page Source code
onAttach Source code
parameters Man page Source code
parameters.sgl Man page Source code
parameters_stat Man page Source code
parameters_stat.sgl Man page Source code
prepare.args Man page Source code
prepare.args.sgldata Man page Source code
prepare_data Man page Source code
print_with_metric_prefix Man page Source code
rearrange Man page Source code
rearrange.sgldata Man page Source code
set_response_names Source code
sgl.algorithm.config Man page Source code
sgl.c.config Man page Source code
sgl.standard.config Man page
sglOptim Man page
sglOptim-package Man page
sgl_cv Man page Source code
sgl_fit Man page Source code
sgl_lambda_sequence Man page Source code
sgl_predict Man page Source code
sgl_print Man page Source code
sgl_subsampling Man page Source code
sgl_test Man page Source code
sparseMatrix_from_C_format Man page Source code
sparseMatrix_to_C_format Man page Source code
subsample Man page Source code
subsample.sgldata Man page Source code
test.data Man page
test_rtools Man page Source code
transpose_response_elements Man page Source code

Files

inst
inst/CITATION
inst/NEWS.Rd
inst/doc
inst/doc/README.Rmd
inst/doc/README.R
inst/doc/README.html
inst/include
inst/include/sgl.h
inst/include/rtools.h
inst/include/sgl
inst/include/sgl/sgl_problem.h
inst/include/sgl/objective
inst/include/sgl/objective/sgl_gl_loss_sparse.h
inst/include/sgl/objective/sgl_gl_loss_dense.h
inst/include/sgl/objective/linear_response.h
inst/include/sgl/objective/sgl_gl_loss_base.h
inst/include/sgl/objective/sgl_matrix_data.h
inst/include/sgl/objective/linear_predictor.h
inst/include/sgl/error.h
inst/include/sgl/RInterface
inst/include/sgl/RInterface/sgl_subsampling.h
inst/include/sgl/RInterface/sgl_fit.h
inst/include/sgl/RInterface/sgl_predict.h
inst/include/sgl/RInterface/sgl_lambda_seq.h
inst/include/sgl/RInterface/sgl_test.h
inst/include/sgl/block_vector.h
inst/include/sgl/simple_timer.h
inst/include/sgl/numeric.h
inst/include/sgl/sgl_optimizer.h
inst/include/sgl/algorithm_config.h
inst/include/sgl/arma_additions.h
inst/include/sgl/objective_function_type.h
inst/include/sgl/sgl_tester.h
inst/include/sgl/interface_basic.h
inst/include/sgl/dim_config.h
inst/include/rtools
inst/include/rtools/rObject_def.h
inst/include/rtools/rObject_decl.h
inst/include/rtools/rList.h
inst/include/rtools/test.h
inst/include/rtools/get_value.h
tests
tests/B_fit_run_tests_2.R
tests/G_rtools_tests.R
tests/C_cv_consistency_tests.R
tests/H_error_tests.R
tests/E_objective_tester.R
tests/B_fit_consistency_tests.R
tests/C_cv_run_tests_1.R
tests/C_cv_run_tests_2.R
tests/B_fit_run_tests_1.R
tests/D_subsampling_run_tests_1.R
tests/units
tests/units/subsampling_test_2.R
tests/units/fit_test.R
tests/units/run_tests.R
tests/units/lambda_test.R
tests/units/generate_data.R
tests/units/subsampling_test_1.R
tests/units/cv_test.R
tests/B_fit_run_tests_0.R
tests/I_configuration_test.R
tests/A_lambda_run_tests.R
tests/D_subsampling_run_tests_2.R
tests/F_parallel_run_tests.R
tests/F_parallel_old_api.R
src
src/Makevars
src/create_module.h
src/test_objective_error.h
src/only_for_testing.cpp
src/pkg_c_config.h
src/test_objective_linear.h
NAMESPACE
data
data/TestData.RData
R
R/sgl_test.R
R/sgl_cv.R
R/sgl_error.R
R/response_formatter.R
R/rtools_test.R
R/sgl_navigate.R
R/sgl_fit.R
R/sglOptim.R
R/startup.R
R/prepare_args.R
R/sgl_subsampling.R
R/sgl_predict.R
R/lambda_sequence.R
R/sgl_config.R
vignettes
vignettes/README.Rmd
MD5
build
build/vignette.rds
DESCRIPTION
man
man/models.Rd
man/sgl_predict.Rd
man/Err.Rd
man/parameters.sgl.Rd
man/prepare.args.Rd
man/sgl.c.config.Rd
man/prepare_data.Rd
man/sparseMatrix_to_C_format.Rd
man/parameters_stat.sgl.Rd
man/best_model.sgl.Rd
man/Err.sgl.Rd
man/get_coef.Rd
man/sgl.standard.config.Rd
man/test.data.Rd
man/features.Rd
man/add_data.sgldata.Rd
man/sgl_print.Rd
man/sgl_test.Rd
man/coef.sgl.Rd
man/rearrange.Rd
man/test_rtools.Rd
man/features_stat.Rd
man/sparseMatrix_from_C_format.Rd
man/rearrange.sgldata.Rd
man/sgl.algorithm.config.Rd
man/nmod.Rd
man/subsample.Rd
man/sglOptim.Rd
man/add_data.Rd
man/sgl_fit.Rd
man/parameters.Rd
man/transpose_response_elements.Rd
man/element_class.Rd
man/sgl_cv.Rd
man/features.sgl.Rd
man/nmod.sgl.Rd
man/features_stat.sgl.Rd
man/create.sgldata.Rd
man/best_model.Rd
man/prepare.args.sgldata.Rd
man/sgl_lambda_sequence.Rd
man/compute_error.Rd
man/sgl_subsampling.Rd
man/parameters_stat.Rd
man/print_with_metric_prefix.Rd
man/models.sgl.Rd
man/subsample.sgldata.Rd
sglOptim documentation built on May 20, 2017, 4:42 a.m.