r-sgloptim 1.3.8 Generic sparse group Lasso solver
This package provides a fast generic solver for sparse group lasso optimization problems. The loss (objective) function must be defined in a C++ module. The optimization problem is solved using a coordinate gradient descent algorithm. Convergence of the algorithm is established and the algorithm is applicable to a broad class of loss functions. Use of parallel computing for cross validation and subsampling is supported through the foreach
and doParallel
packages.
- Website: https://github.com/nielsrhansen/sglOptim
- License: GPL 2+
- Package source: cran.scm
- Patches: None
- Builds: x86_64-linux, i686-linux