The R package sgsl
implements the sparse group-subgroup lasso.
The reference for the original pliable lasso can be found at: * Identification of important regressor groups, subgroups and individuals via regularization methods: application to gut microbiome data by Tanya P. Garcia et al (2014).
devtools::install_github("rakheon/sgsl", force = TRUE)
# data generation for linear models
x = matrix(rnorm(100*5, 0, 1),100,5)
z = matrix(rbinom(100, 1, 0.5),100,1)
y = matrix(z[,1] + 2*x[,1] - 2*x[,2] + rnorm(100, 0, 1), 100)
# variable selection with d2wlasso for linear models
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