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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