sgl_lambda_sequence: Computing a Lambda Sequence
In sglOptim: Generic Sparse Group Lasso Solver

Description Usage Arguments Value Author(s)

Computes a decreasing lambda sequence of length d. The sequence ranges from a data determined maximal lambda λ_\textrm{max} to the user supplied lambda.min.

sgl_lambda_sequence(module_name, PACKAGE, data, parameterGrouping = NULL,
  groupWeights = NULL, parameterWeights = NULL, alpha, d = 100,
  lambda.min, algorithm.config = sgl.standard.config,
  lambda.min.rel = FALSE)

`module_name`	reference to objective specific C++ routines.
`PACKAGE`	name of the calling package.
`data`	list of data objects – will be parsed to the specified module.
`parameterGrouping`	grouping of parameters, a vector of length p. Each element of the vector specifying the group of the parameters in the corresponding column of β.
`groupWeights`	group weights, a vector of length `length(unique(parameterGrouping))` (the number of groups).
`parameterWeights`	parameters weights, a matrix of size q \times p.
`alpha`	the α value, 0 for group lasso, 1 for lasso, between 0 and 1 gives a sparse group lasso penalty.
`d`	the length of the lambda sequence.
`lambda.min`	the smallest lambda value in the computed sequence.
`algorithm.config`	the algorithm configuration.
`lambda.min.rel`	is lambda.min relative to lambda.max ? (i.e. actual lambda min used is `lambda.min*lambda.max`, with `lambda.max` the computed maximal lambda value)