Generic routine for computing a lambda sequence for the regularization path

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Description

Computes a decreasing lambda sequence of length d. The sequence ranges from a data determined maximal lambda λ_\textrm{max} to the user inputed lambda.min.

Usage

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  sgl_lambda_sequence(module_name, PACKAGE, data,
    covariateGrouping, groupWeights, parameterWeights,
    alpha = 0.5, d = 100L, lambda.min,
    algorithm.config = sgl.standard.config)

Arguments

call_sym

reference to objective specific C++ routines

PACKAGE
data
sampleGrouping
covariateGrouping

grouping of covariates, a vector of length p. Each element of the vector specifying the group of the covariate.

groupWeights

the group weights, a vector of length m+1 (the number of groups).

parameterWeights

a matrix of size K \times (p+1).

alpha

the α value 0 for group lasso, 1 for lasso, between 0 and 1 gives a sparse group lasso penalty.

d

the length of lambda sequence

lambda.min

the smallest lambda value in the computed sequence.

algorithm.config

the algorithm configuration to be used.

Value

a vector of length d containing the compute lambda sequence.

Author(s)

Martin Vincent