Description Usage Arguments Value Author(s)
A sequence of minimizers (one for each lambda given in the lambda
argument) of
\mathrm{loss}(β) + λ ≤ft( (1-α) ∑_{J=1}^m γ_J \|β^{(J)}\|_2 + α ∑_{i=1}^{n} ξ_i |β_i| \right)
where \mathrm{loss} is the loss/objective function specified by module_name
.
The parameters are organized in the parameter matrix β with dimension q\times p.
The vector β^{(J)} denotes the J parameter group.
The group weights γ \in [0,∞)^m and the parameter weights ξ = (ξ^{(1)},…, ξ^{(m)}) \in [0,∞)^n
with ξ^{(1)}\in [0,∞)^{n_1},…, ξ^{(m)} \in [0,∞)^{n_m}.
1 2 3 | sgl_fit(module_name, PACKAGE, data, parameterGrouping, groupWeights,
parameterWeights, alpha, lambda, return = 1:length(lambda),
algorithm.config = sgl.standard.config)
|
module_name |
reference to objective specific C++ routines. |
PACKAGE |
name of the calling package. |
data |
a list of data objects – will be parsed to the specified module. |
parameterGrouping |
grouping of parameters, a vector of length p. Each element of the vector specifying the group of the parameters in the corresponding column of β. |
groupWeights |
the group weights, a vector of length |
parameterWeights |
a matrix of size q \times p. |
alpha |
the α value 0 for group lasso, 1 for lasso, between 0 and 1 gives a sparse group lasso penalty. |
lambda |
the lambda sequence for the regularization path. |
return |
the indices of lambda values for which to return fitted parameters. |
algorithm.config |
the algorithm configuration to be used. |
beta |
the fitted parameters – a list of length |
loss |
the values of the loss function. |
objective |
the values of the objective function (i.e. loss + penalty). |
lambda |
the lambda values used. |
Martin Vincent
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.