Sparse-Group SLOPE: Adaptive Bi-Level Selection with FDR Control

Implementation of Sparse-group SLOPE (SGS) (Feser and Evangelou (2023) ) models. Linear and logistic regression models are supported, both of which can be fit using k-fold cross-validation. Dense and sparse input matrices are supported. In addition, a general Adaptive Three Operator Splitting (ATOS) (Pedregosa and Gidel (2018) ) implementation is provided. Group SLOPE (gSLOPE) (Brzyski et al. (2019) ) and group-based OSCAR models (Feser and Evangelou (2024) ) are also implemented. All models are available with strong screening rules (Feser and Evangelou (2024) ) for computational speed-up.