SGL (version 1.3)

SGL-package: Fit a GLM (or Cox Model) with a Combination of Lasso and Group Lasso Regularization

Description

Fit a regularized generalized linear model via penalized maximum likelihood. The model is fit for a path of values of the penalty parameter. Fits linear, logistic and Cox models.

Details

Package:	SGL
Type:	Package
Version:	1.0
Date:	2012-3-12
License:	GPL
LazyLoad:	yes

Only 4 functions: SGL cvSGL predictSGL plot.cvSGL

References

Simon, N., Friedman, J., Hastie T., and Tibshirani, R. (2011) A Sparse-Group Lasso, http://faculty.washington.edu/nrsimon/SGLpaper.pdf