nielsrhansen/lsgl: Multivariate Linear Sparse Group Lasso

Sparse group lasso for multivariate linear regression. The algorithm finds the sparse group lasso penalized maximum likelihood estimator. This result in feature and parameter selection, and parameter estimation. 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.

Getting started

Package details

Maintainer
LicenseGPL (>= 2)
Version1.3.7
URL https://github.com/nielsrhansen/lsgl
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("nielsrhansen/lsgl")
nielsrhansen/lsgl documentation built on May 20, 2019, 9:56 a.m.