sparsegl-package {sparsegl}R Documentation

sparsegl: Sparse Group Lasso

Description

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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:

Other contributors:

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:


[Package sparsegl version 1.1.1 Index]