An Iterative Sparse-Group Lasso

DOI10.1080/10618600.2019.1573687OpenAlexW2914979600WikidataQ128365788 ScholiaQ128365788MaRDI QIDQ3391280

Juan C. Laria, M. Carmen Aguilera-Morillo, Rosa Elvira Lillo

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/31895

zbMATH Keywords

optimizationregularizationhigh-dimensioncoordinate descentgradient-free

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Group linear algorithm with sparse principal decomposition: a variable selection and clustering method for generalized linear models ⋮ A general framework for penalized mixed-effects multitask learning with applications on DNA methylation surrogate biomarkers creation ⋮ Graphical-model based high dimensional generalized linear models ⋮ Adaptive sparse group LASSO in quantile regression

Uses Software

• R
• glasso
• glmnet
• ECOS
• CVXPY
• C-HiLasso
• msgl

Cites Work

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• Group variable selection via a hierarchical lasso and its oracle property
• Sparse group Lasso and high dimensional multinomial classification
• CVXPY: A Python-Embedded Modeling Language for Convex Optimization
• Gradient-based Regularization Parameter Selection for Problems With Nonsmooth Penalty Functions
• A group bridge approach for variable selection
• C-HiLasso: A Collaborative Hierarchical Sparse Modeling Framework
• Classification With the Sparse Group Lasso
• Sparse group variable selection based on quantile hierarchical Lasso
• Regularization and Variable Selection Via the Elastic Net
• Model Selection and Estimation in Regression with Grouped Variables
• A Simplex Method for Function Minimization

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