sgl_lambda_sequence: Generic routine for computing a lambda sequence for the...
In sglOptim: Sparse group lasso generic optimizer

Description Usage Arguments Value Author(s)

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

sgl_lambda_sequence(module_name, PACKAGE, data, parameterGrouping, groupWeights,
  parameterWeights, alpha, d, lambda.min,
  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 `length(unique(parameterGrouping))` (the number of groups).
`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.
`d`	the length of lambda sequence.
`lambda.min`	the smallest lambda value in the computed sequence.
`algorithm.config`	the algorithm configuration to be used.