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. 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.

AuthorMartin Vincent
Date of publication2016-12-29 01:09:00
MaintainerMartin Vincent <martin.vincent.dk@gmail.com>
LicenseGPL (>= 2)
Version1.3.5
https://dx.doi.org/10.1016/j.csda.2013.06.004, https://github.com/vincent- dk/sglOptim

View on CRAN

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

Files in this package

sglOptim
sglOptim/inst
sglOptim/inst/CITATION
sglOptim/inst/NEWS.Rd
sglOptim/inst/include
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/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/test.h
sglOptim/inst/include/rtools/get_value.h
sglOptim/tests
sglOptim/tests/B_fit_run_tests_2.R
sglOptim/tests/G_rtools_tests.R
sglOptim/tests/C_cv_consistency_tests.R
sglOptim/tests/D_subsampling_run_tests.R
sglOptim/tests/H_error_tests.R
sglOptim/tests/E_objective_tester.R
sglOptim/tests/B_fit_consistency_tests.R
sglOptim/tests/C_cv_run_tests_1.R
sglOptim/tests/C_cv_run_tests_2.R
sglOptim/tests/B_fit_run_tests_1.R
sglOptim/tests/units
sglOptim/tests/units/subsampling_test_2.R
sglOptim/tests/units/fit_test.R
sglOptim/tests/units/run_tests.R
sglOptim/tests/units/lambda_test.R
sglOptim/tests/units/generate_data.R
sglOptim/tests/units/subsampling_test_1.R
sglOptim/tests/units/cv_test.R
sglOptim/tests/B_fit_run_tests_0.R
sglOptim/tests/I_configuration_test.R
sglOptim/tests/A_lambda_run_tests.R
sglOptim/tests/F_parallel_run_tests.R
sglOptim/tests/F_parallel_old_api.R
sglOptim/src
sglOptim/src/Makevars
sglOptim/src/create_module.h
sglOptim/src/test_objective_error.h
sglOptim/src/only_for_testing.cpp
sglOptim/src/pkg_c_config.h
sglOptim/src/test_objective_linear.h
sglOptim/NAMESPACE
sglOptim/data
sglOptim/data/TestData.RData
sglOptim/R
sglOptim/R/sgl_test.R sglOptim/R/sgl_cv.R sglOptim/R/sgl_error.R sglOptim/R/response_formatter.R sglOptim/R/rtools_test.R sglOptim/R/sgl_navigate.R sglOptim/R/sgl_fit.R sglOptim/R/sglOptim.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/prepare_data.Rd sglOptim/man/sparseMatrix_to_C_format.Rd sglOptim/man/parameters_stat.sgl.Rd sglOptim/man/best_model.sgl.Rd sglOptim/man/Err.sgl.Rd sglOptim/man/get_coef.Rd sglOptim/man/sgl.standard.config.Rd sglOptim/man/test.data.Rd sglOptim/man/features.Rd sglOptim/man/add_data.sgldata.Rd sglOptim/man/sgl_print.Rd sglOptim/man/sgl_test.Rd sglOptim/man/coef.sgl.Rd sglOptim/man/rearrange.Rd sglOptim/man/test_rtools.Rd sglOptim/man/features_stat.Rd sglOptim/man/sparseMatrix_from_C_format.Rd sglOptim/man/rearrange.sgldata.Rd sglOptim/man/sgl.algorithm.config.Rd sglOptim/man/nmod.Rd sglOptim/man/subsample.Rd sglOptim/man/sglOptim.Rd sglOptim/man/add_data.Rd sglOptim/man/sgl_fit.Rd sglOptim/man/parameters.Rd sglOptim/man/transpose_response_elements.Rd sglOptim/man/element_class.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

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