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sparsegl: Sparse Group Lasso
Efficient implementation of sparse group lasso with optional bound constraints on the coefficients; see <doi:10.18637/jss.v110.i06>. It supports the use of a sparse design matrix as well as returning coefficient estimates in a sparse matrix. Furthermore, it correctly calculates the degrees of freedom to allow for information criteria rather than cross-validation with very large data. Finally, the interface to compiled code avoids unnecessary copies and allows for the use of long integers.
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Package details |
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| Author | Daniel J. McDonald [aut, cre], Xiaoxuan Liang [aut], Anibal Solón Heinsfeld [aut], Aaron Cohen [aut], Yi Yang [ctb], Hui Zou [ctb], Jerome Friedman [ctb], Trevor Hastie [ctb], Rob Tibshirani [ctb], Balasubramanian Narasimhan [ctb], Kenneth Tay [ctb], Noah Simon [ctb], Junyang Qian [ctb], James Yang [ctb] |
| Maintainer | Daniel J. McDonald <daniel@stat.ubc.ca> |
| License | MIT + file LICENSE |
| Version | 1.1.1 |
| URL | https://github.com/dajmcdon/sparsegl https://dajmcdon.github.io/sparsegl/ |
| Package repository | View on CRAN |
| Installation |
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