sparsegl

swMATH43028CRANsparseglMaRDI QIDQ1351499

Sparse Group Lasso

Aaron Cohen, Daniel J. McDonald, Anibal Solón Heinsfeld, Xiaoxuan Liang

Last update: 25 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.1, 0.3.0, 0.4.0, 0.5.0, 1.0.0, 1.0.2

Source code repository: https://github.com/cran/sparsegl

Description

Efficient implementation of sparse group lasso with optional bound constraints on the coefficients. 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.