sparsegl-package: sparsegl: Sparse Group Lasso

In sparsegl: Sparse Group Lasso

sparsegl: Sparse Group Lasso

Description

Efficient implementation of sparse group lasso with optional bound constraints on the coefficients; see \Sexpr[results=rd]{tools:::Rd_expr_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.

Author(s)

Maintainer: Daniel J. McDonald [e-mail]

Authors:

• Xiaoxuan Liang [e-mail]

• Anibal Solón Heinsfeld [e-mail]

• Aaron Cohen [e-mail]

Other contributors:

• Yi Yang [e-mail] [contributor]

• Hui Zou [contributor]

• Jerome Friedman [contributor]

• Trevor Hastie [contributor]

• Rob Tibshirani [contributor]

• Balasubramanian Narasimhan [contributor]

• Kenneth Tay [contributor]

• Noah Simon [contributor]

• Junyang Qian [contributor]

• James Yang [contributor]

References

Liang, X., Cohen, A., Sólon Heinsfeld, A., Pestilli, F., and McDonald, D.J. 2024. sparsegl: An R Package for Estimating Sparse Group Lasso. Journal of Statistical Software, Vol. 110(6): 1–23. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v110.i06")}.

See Also

Useful links:

• https://github.com/dajmcdon/sparsegl

• https://dajmcdon.github.io/sparsegl/

• Report bugs at https://github.com/dajmcdon/sparsegl/issues

sparsegl documentation built on Sept. 11, 2024, 7:23 p.m.