Lasso, Group Lasso, and Sparse-Group Lasso for Mixed Models

Proximal gradient descent solver for the operators lasso, (fitted) group lasso, and (fitted) sparse-group lasso. The implementation involves backtracking line search and warm starts. Input data needs to be clustered/ grouped for each group lasso variant before calling these algorithms.


Reference manual

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1.1.0 by Jan Klosa, 9 months ago

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Browse source code at

Authors: Jan Klosa [aut, cre] , Noah Simon [ths] , Dörte Wittenburg [ths]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports Rcpp, matrixStats

Suggests testthat, knitr, rmarkdown

Linking to Rcpp, RcppArmadillo

See at CRAN