README

set.seed(150)
pkg_version <- packageVersion("sglOptim")

Sparse Group Lasso Solver

This is the R package sglOptim version r pkg_version.

R-package Overview

This package doesn't provide any direct functionality. It is a service package for other R packages, and it provides an implementation of an optimizer of sparse group lasso penalized objective functions. The package is used by the following other R packages:

More details on the algorithm are given in the paper Sparse group lasso and high dimensional multinomial classification.

The loss/objective function must be defined in a C++ module.

Installation

Install the released version from CRAN:

install.packages("sglOptim")

Install the version from GitHub:

# install.packages("devtools")
devtools::install_github("nielsrhansen/sglOptim", build_vignettes = TRUE)

If you don't want to build the vignettes when installing, just remove the build_vignettes = TRUE argument.

Author

Martin Vincent wrote the package. Niels Richard Hansen is the current maintainer.

License

GPL (>=2)



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sglOptim documentation built on Oct. 21, 2018, 9:04 a.m.