sparsegl-package {sparsegl} | R Documentation |
sparsegl: Sparse Group Lasso
Description
Efficient implementation of sparse group lasso with optional bound constraints on the coefficients; see doi:10.18637/jss.v110.i06. It supports the use of a sparse design matrix as well as returning coefficient estimates in a sparse matrix. Furthermore, it correctly calculates the degrees of freedom to allow for information criteria rather than cross-validation with very large data. Finally, the interface to compiled code avoids unnecessary copies and allows for the use of long integers.
Author(s)
Maintainer: Daniel J. McDonald daniel@stat.ubc.ca
Authors:
Xiaoxuan Liang xiaoxuan.liang@stat.ubc.ca
Anibal Solón Heinsfeld anibalsolon@gmail.com
Aaron Cohen cohenaa@indiana.edu
Other contributors:
Yi Yang yi.yang6@mcgill.ca [contributor]
Hui Zou [contributor]
Jerome Friedman [contributor]
Trevor Hastie [contributor]
Rob Tibshirani [contributor]
Balasubramanian Narasimhan [contributor]
Kenneth Tay [contributor]
Noah Simon [contributor]
Junyang Qian [contributor]
James Yang [contributor]
References
Liang, X., Cohen, A., Sólon Heinsfeld, A., Pestilli, F., and
McDonald, D.J. 2024.
sparsegl: An R
Package for Estimating Sparse Group Lasso.
Journal of Statistical Software, Vol. 110(6): 1–23.
doi:10.18637/jss.v110.i06.
See Also
Useful links:
Report bugs at https://github.com/dajmcdon/sparsegl/issues