yanxht/hsm: A Path-Based BCD for Proximal Function of Latent Group Lasso

Implementation of the block coordinate descent procedure for solving the proximal function of latent group Lasso, highlighted by decomposing a DAG into several non-overlapping path graphs, and getting closed-form solution for each path graph. The procedure was introduced as Algorithm 4 in Yan and Bien (2017) <doi:10.1214/17-STS622> "Hierarchical Sparse Modeling: A Choice of Two Group Lasso Formulations", and the closed-form solution for each path graph is solved in Algorithm 3 of that paper.

Getting started

Package details

AuthorXiaohan Yan [aut, cre], Jacob Bien [aut, cre]
MaintainerXiaohan Yan <[email protected]>
URL https://github.com/yanxht/hsm
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
yanxht/hsm documentation built on May 26, 2019, 6:37 a.m.