sparsegl

Authors 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

Official website https://cran.r-project.org/web/packages/sparsegl/index.html

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

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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