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.
|Author||Xiaohan Yan [aut, cre], Jacob Bien [aut, cre]|
|Maintainer||Xiaohan Yan <[email protected]>|
|Package repository||View on GitHub|
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