SglOptimizer: Sparse group lasso optimizer

Fast algorithm for solving the sparse group lasso convex optimization problem. This package apply template metaprogramming techniques, therefore -- when compiling the package from source -- a high level of optimization is needed to gain full speed (e.g. for the GCC compiler use -O3). Use of multiple processors for cross validation and subsampling is supported through OpenMP. The Armadillo C++ library is used as the primary linear algebra engine. Armadillo is licensed under the MPL 2.0. The Armadillo C++ library is primarily developed at NICTA (Australia) by Conrad Sanderson, with contributions from around the world. Furthermore the package utilize various Boost libraries, in particular the Tuple library by Jaakko Jarvi and the Random library by Jens Maurer. The Boost libraries are licensed under the Boost Software License.

Author
Martin Vincent
Date of publication
2013-06-27 07:39:31
Maintainer
Martin Vincent <vincent@math.ku.dk>
License
GPL (>= 2)
Version
0.0.80
URLs

View on R-Forge

Man pages

create.sgldata
Create sgl data
prepare.args
Prepare sgl function arguments
rearrange.sgldata
Rearrange sgl.data
sgl.algorithm.config
Create a new algorithm configuration
sgl_cv
Sparse group lasso cross validation using multiple possessors
sgl_fit
Fit a sparse group lasso regularization path.
sgl_lambda_sequence
Generic routine for computing a lambda sequence for the...
sgl_predict
Sgl predict
sgl.standard.config
Standard algorithm configuration

Files in this package

SglOptimizer/DESCRIPTION
SglOptimizer/NAMESPACE
SglOptimizer/R
SglOptimizer/R/lambda_sequence.R
SglOptimizer/R/prepare_args.R
SglOptimizer/R/sgl_config.R
SglOptimizer/R/sgl_cv.R
SglOptimizer/R/sgl_fit.R
SglOptimizer/R/sgl_predict.R
SglOptimizer/inst
SglOptimizer/inst/CITATION
SglOptimizer/inst/include
SglOptimizer/inst/include/Backtrace.h
SglOptimizer/inst/include/Indices
SglOptimizer/inst/include/Indices/GroupedIndices.h
SglOptimizer/inst/include/Indices/Indices.h
SglOptimizer/inst/include/Indices/IntegerSet.h
SglOptimizer/inst/include/Indices/SubMatrix.h
SglOptimizer/inst/include/rtools
SglOptimizer/inst/include/rtools.h
SglOptimizer/inst/include/rtools/get_value.h
SglOptimizer/inst/include/rtools/rList.h
SglOptimizer/inst/include/rtools/rObject.h
SglOptimizer/inst/include/sgl
SglOptimizer/inst/include/sgl.h
SglOptimizer/inst/include/sgl/AlgorithmConfigurationDefault.h
SglOptimizer/inst/include/sgl/BlockVector.h
SglOptimizer/inst/include/sgl/DimConfig.h
SglOptimizer/inst/include/sgl/ObjectiveFunction.h
SglOptimizer/inst/include/sgl/ObjectiveFunctionExpressionType.h
SglOptimizer/inst/include/sgl/RInterface
SglOptimizer/inst/include/sgl/RInterface/msgl_multinomial_weighted_sparse.h
SglOptimizer/inst/include/sgl/RInterface/sgl_cv.h
SglOptimizer/inst/include/sgl/RInterface/sgl_fit.h
SglOptimizer/inst/include/sgl/RInterface/sgl_lambda_seq.h
SglOptimizer/inst/include/sgl/RInterface/sgl_predict.h
SglOptimizer/inst/include/sgl/RInterface/sgl_subsampling.h
SglOptimizer/inst/include/sgl/SglOptimizer.h
SglOptimizer/inst/include/sgl/SglProblem.h
SglOptimizer/inst/include/sgl/arma_additions.h
SglOptimizer/inst/include/sgl/config.h
SglOptimizer/inst/include/sgl/interface_basic.h
SglOptimizer/inst/include/sgl/numeric.h
SglOptimizer/inst/include/sgl/objective
SglOptimizer/inst/include/sgl/objective/linear_predictor.h
SglOptimizer/inst/include/sgl/objective/linear_response.h
SglOptimizer/inst/include/sgl/objective/sgl_algorithm_config.h
SglOptimizer/inst/include/sgl/objective/sgl_gl_loss.h
SglOptimizer/inst/include/sgl/objective/sgl_matrix_data.h
SglOptimizer/inst/include/sgl/simple_timer.h
SglOptimizer/inst/include/tools.h
SglOptimizer/man
SglOptimizer/man/create.sgldata.Rd
SglOptimizer/man/prepare.args.Rd
SglOptimizer/man/rearrange.sgldata.Rd
SglOptimizer/man/sgl.algorithm.config.Rd
SglOptimizer/man/sgl.standard.config.Rd
SglOptimizer/man/sgl_cv.Rd
SglOptimizer/man/sgl_fit.Rd
SglOptimizer/man/sgl_lambda_sequence.Rd
SglOptimizer/man/sgl_predict.Rd