Fit a GLM (or Cox Model) with a Combination of Lasso and Group Lasso Regularization

Fit a regularized generalized linear model via penalized maximum likelihood. The model is fit for a path of values of the penalty parameter. Fits linear, logistic and Cox models.


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install.packages("SGL")

1.3 by Noah Simon, 2 years ago


Browse source code at https://github.com/cran/SGL


Authors: Noah Simon , Jerome Friedman , Trevor Hastie , and Rob Tibshirani


Documentation:   PDF Manual  


Task views: Survival Analysis


GPL license



See at CRAN