sglOptim: Sparse group lasso generic optimizer

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Fast generic solver for sparse group lasso optimization problems. The loss (objective) function must be defined in a C++ module. 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. (The sglOptim package version a.b.c.d is interpreted as follows: a - primary version, b - major updates and fixes, c - source revision as corresponding to R-Forge, d - minor fixes made only to the CRAN branch of the source)

Author
Martin Vincent
Date of publication
2015-04-07 09:49:13
Maintainer
Martin Vincent <vincent@math.ku.dk>
License
GPL (>= 2)
Version
1.1.137.0
URLs

View on R-Forge

Man pages

coef.sgl
Extracting the nonzero coefficients
compute_error
Helper function for computing error rates
create.sgldata
Create a sgldata object
Err
Generic function for computing error rates
features
Generic function for extracting nonzero features (or groups)
features.sgl
Extracting nonzero features
models
Generic function for extracting the fitted models
models.sgl
Returns the estimated models (that is the beta matrices)
nmod
Generic function for counting the number of models
nmod.sgl
Returns the number of models in a sgl object
parameters
Generic function for extracting nonzero parameters
parameters.sgl
Extracting nonzero parameters
prepare.args
Generic function for preparing the sgl call arguments
prepare.args.sgldata
Prepare sgl function arguments
print_with_metric_prefix
Print a numeric with metric prefix
rearrange
Generic rearrange function
rearrange.sgldata
Rearrange sgldata
sgl.algorithm.config
Create a new algorithm configuration
sgl_cv
Generic sparse group lasso cross validation using multiple...
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_print
Print information about sgl object
sgl.standard.config
Standard algorithm configuration
sgl_subsampling
Generic sparse group lasso subsampling procedure
test.data
Simulated data set

Files in this package

sglOptim/DESCRIPTION
sglOptim/NAMESPACE
sglOptim/R
sglOptim/R/lambda_sequence.R
sglOptim/R/prepare_args.R
sglOptim/R/sgl_config.R
sglOptim/R/sgl_cv.R
sglOptim/R/sgl_fit.R
sglOptim/R/sgl_navigate.R
sglOptim/R/sgl_predict.R
sglOptim/R/sgl_subsampling.R
sglOptim/data
sglOptim/data/TestData.RData
sglOptim/inst
sglOptim/inst/CITATION
sglOptim/inst/include
sglOptim/inst/include/rtools
sglOptim/inst/include/rtools.h
sglOptim/inst/include/rtools/get_value.h
sglOptim/inst/include/rtools/rList.h
sglOptim/inst/include/rtools/rObject_decl.h
sglOptim/inst/include/rtools/rObject_def.h
sglOptim/inst/include/sgl
sglOptim/inst/include/sgl.h
sglOptim/inst/include/sgl/BlockVector.h
sglOptim/inst/include/sgl/DimConfig.h
sglOptim/inst/include/sgl/ObjectiveFunctionType.h
sglOptim/inst/include/sgl/RInterface
sglOptim/inst/include/sgl/RInterface/sgl_fit.h
sglOptim/inst/include/sgl/RInterface/sgl_lambda_seq.h
sglOptim/inst/include/sgl/RInterface/sgl_predict.h
sglOptim/inst/include/sgl/RInterface/sgl_subsampling.h
sglOptim/inst/include/sgl/SglOptimizer.h
sglOptim/inst/include/sgl/SglProblem.h
sglOptim/inst/include/sgl/algorithm_config.h
sglOptim/inst/include/sgl/arma_additions.h
sglOptim/inst/include/sgl/config.h
sglOptim/inst/include/sgl/interface_basic.h
sglOptim/inst/include/sgl/numeric.h
sglOptim/inst/include/sgl/objective
sglOptim/inst/include/sgl/objective/linear_predictor.h
sglOptim/inst/include/sgl/objective/linear_response.h
sglOptim/inst/include/sgl/objective/sgl_gl_loss_base.h
sglOptim/inst/include/sgl/objective/sgl_gl_loss_dense.h
sglOptim/inst/include/sgl/objective/sgl_gl_loss_sparse.h
sglOptim/inst/include/sgl/objective/sgl_matrix_data.h
sglOptim/inst/include/sgl/objective/simplifier.h
sglOptim/inst/include/sgl/simple_timer.h
sglOptim/inst/include/sgl/subsampling.h
sglOptim/inst/include/tools.h
sglOptim/man
sglOptim/man/Err.Rd
sglOptim/man/coef.sgl.Rd
sglOptim/man/compute_error.Rd
sglOptim/man/create.sgldata.Rd
sglOptim/man/features.Rd
sglOptim/man/features.sgl.Rd
sglOptim/man/models.Rd
sglOptim/man/models.sgl.Rd
sglOptim/man/nmod.Rd
sglOptim/man/nmod.sgl.Rd
sglOptim/man/parameters.Rd
sglOptim/man/parameters.sgl.Rd
sglOptim/man/prepare.args.Rd
sglOptim/man/prepare.args.sgldata.Rd
sglOptim/man/print_with_metric_prefix.Rd
sglOptim/man/rearrange.Rd
sglOptim/man/rearrange.sgldata.Rd
sglOptim/man/sgl.algorithm.config.Rd
sglOptim/man/sgl.standard.config.Rd
sglOptim/man/sgl_cv.Rd
sglOptim/man/sgl_fit.Rd
sglOptim/man/sgl_lambda_sequence.Rd
sglOptim/man/sgl_predict.Rd
sglOptim/man/sgl_print.Rd
sglOptim/man/sgl_subsampling.Rd
sglOptim/man/test.data.Rd
sglOptim/src
sglOptim/src/Makevars
sglOptim/src/only_for_testing.cpp
sglOptim/src/test_objective.h
sglOptim/tests
sglOptim/tests/A_lambda_sequence_test.R
sglOptim/tests/B_fit_test_1.R
sglOptim/tests/B_fit_test_2.R
sglOptim/tests/B_fit_test_3.R
sglOptim/tests/C_grouping_test_1.R
sglOptim/tests/C_grouping_test_2.R
sglOptim/tests/C_grouping_test_3.R
sglOptim/tests/D_cv_test_1.R
sglOptim/tests/D_cv_test_2.R
sglOptim/tests/D_cv_test_3.R
sglOptim/tests/E_subsampling_test_1.R
sglOptim/tests/E_subsampling_test_2.R
sglOptim/tests/E_subsampling_test_3.R
sglOptim/tests/G_openmp_test.R