Sorted L1 Penalized Estimation
Efficient implementations for Sorted L-One Penalized Estimation
(SLOPE): generalized linear models regularized with the sorted L1-norm
(Bogdan et al. (2015) ). Supported models include ordinary
least-squares regression, binomial regression, multinomial regression, and
Poisson regression. Both dense and sparse predictor matrices are supported.
In addition, the package features predictor screening rules that enable fast
and efficient solutions to high-dimensional problems.