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.


Reference manual

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1.1.1 by Ryan Thompson, 3 months ago

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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