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
.
1 2 3 4  sgl_lambda_sequence(module_name, PACKAGE, data,
covariateGrouping, groupWeights, parameterWeights,
alpha = 0.5, d = 100L, lambda.min,
algorithm.config = sgl.standard.config)

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. 
a vector of length d
containing the compute lambda
sequence.
Martin Vincent
Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.
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