Generic Sparse Group Lasso Solver

Fast generic solver for sparse group lasso optimization problems. The loss (objective) function must be defined in a C++ module. The optimization problem is solved using a coordinate gradient descent algorithm. Convergence of the algorithm is established (see reference) and the algorithm is applicable to a broad class of loss functions. Use of parallel computing for cross validation and subsampling is supported through the 'foreach' and 'doParallel' packages. Development version is on GitHub, please report package issues on GitHub.


Reference manual

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1.3.8 by Niels Richard Hansen, 2 years ago,

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Authors: Martin Vincent [aut] , Niels Richard Hansen [ctb, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports methods, stats, tools, utils

Depends on Matrix, foreach, doParallel

Suggests knitr, rmarkdown

Linking to Rcpp, RcppProgress, RcppArmadillo, BH

Depended on by msgl.

See at CRAN