Multi-Layer Group-Lasso

It implements a new procedure of variable selection in the context of redundancy between explanatory variables, which holds true with high dimensional data (Grimonprez et al. (2018) <>).


Version 0.5 (24/09/2018):

  • documentation correction
  • update DESCRIPTION file with authors
  • add print and summary functions for MLGL
  • add plot, print and summary functions for fullProcess
  • add a formula version of MLGL and fullProcess functions
  • add HMT function with plot, pritn and summary
  • remove logistic loss from fullProcess and remove test for logistic problem

Version 0.4 (14/01/2017):

  • add logistic loss in MLGL, cv.MLGL, stability and overlap
  • add test for logistic loss
  • add logistic loss in fullProcess
  • add sample size parameter in fullProcess

Version 0.3.2 (30/09/2016):

  • optimization of hierarchicalFWER

Version 0.3.1 (22/09/2016):

  • bug correction in hierarchicalFWER
  • optimization of fullProcess

Version 0.3 (09/09/2016):

  • rename the package into MLGL
  • change name of functions including "HCgglasso"

Version 0.2.5 (25/08/2016):

  • change parameters of selFDR and selFWER functions

Version 0.2.4 (01/08/2016):

  • add hierarchical testing procedure
  • add fullProcess function performing HC + Glasso + Hierarchical Testing
  • correction in stability.HCgglasso for the generation of lambda values

Version 0.2.3 (20/01/2016):

  • change the level information in HCgglasso structure output

Version 0.2.2 (06/10/2015):

  • correction for infinite weight in weightLevelGroup
  • use hclust from fastcluster package
  • update documentation

Version 0.2.1:

  • in levelMinWeight function, change minLevelWeight in sqrt(minLevelWeight)

Version 0.2:

  • first version of HCgglasso

Reference manual

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0.6.5 by Quentin Grimonprez, a year ago

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Browse source code at

Authors: Quentin Grimonprez [aut, cre] , Samuel Blanck [ctb] , Alain Celisse [ths] , Guillemette Marot [ths] , Yi Yang [ctb] , Hui Zou [ctb]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports gglasso, MASS, Matrix, fastcluster, FactoMineR, parallelDist

See at CRAN