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.

install.packages("remotes")
remotes::install_github("nielsrhansen/lsgl")