Group Subset Selection

Provides tools for sparse regression modelling with grouped predictors using the group subset selection penalty. Uses coordinate descent and local search algorithms to rapidly deliver near optimal estimates. The group subset penalty can be combined with a group lasso or ridge penalty for added shrinkage. Linear and logistic regression are supported, as are overlapping groups.


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Reference manual

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install.packages("grpsel")

1.1.1 by Ryan Thompson, 21 days ago


https://github.com/ryan-thompson/grpsel


Report a bug at https://github.com/ryan-thompson/grpsel/issues


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


Authors: Ryan Thompson [aut, cre]


Documentation:   PDF Manual  


GPL-3 license


Imports ggplot2, parallel, Rcpp

Suggests testthat, knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN