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

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

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