sparsegl (Q1351499)
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Sparse Group Lasso
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | sparsegl |
Sparse Group Lasso |
Statements
25 September 2023
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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.
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expanded from: GPL (≥ 2) (English)
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