nielsrhansen/msgl: Multinomial Sparse Group Lasso

Multinomial logistic regression with sparse group lasso penalty. Simultaneous feature selection and parameter estimation for classification. Suitable for high dimensional multiclass classification with many classes. The algorithm computes the sparse group lasso penalized maximum likelihood estimate. 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)
Version2.3.8
URL http://www.sciencedirect.com/science/article/pii/S0167947313002168 https://github.com/nielsrhansen/msgl
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("nielsrhansen/msgl")
nielsrhansen/msgl documentation built on Jan. 3, 2019, 2:11 p.m.