sglOptim: Sparse group lasso generic optimizer

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)

AuthorMartin Vincent
Date of publication2015-04-07 09:49:13
MaintainerMartin Vincent <vincent@math.ku.dk>
LicenseGPL (>= 2)
Version1.1.137.0
http://dx.doi.org/10.1016/j.csda.2013.06.004

View on R-Forge

Functions

coef.sgl Man page
compute_error Man page
create.sgldata Man page
Err Man page
features Man page
features.sgl Man page
models Man page
models.sgl Man page
nmod Man page
nmod.sgl Man page
parameters Man page
parameters.sgl Man page
prepare.args Man page
prepare.args.sgldata Man page
print_with_metric_prefix Man page
rearrange Man page
rearrange.sgldata Man page
sgl.algorithm.config Man page
sgl_cv Man page
sgl_fit Man page
sgl_lambda_sequence Man page
sgl_predict Man page
sgl_print Man page
sgl.standard.config Man page
sgl_subsampling Man page
test.data Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.