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genlasso

Path algorithm for generalized lasso problems

This package computes the solution path for generalized lasso problems. Important use cases are the fused lasso over an arbitrary graph, and trend fitting of any given polynomial order. Specialized implementations for the latter two subproblems are given to improve stability and speed.

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Install

install.packages('genlasso')

Monthly Downloads

438

Version

1.6.1

License

GPL (>= 2.0)

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Repository

https://github.com/glmgen/genlasso

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Last Published

August 22nd, 2022

Functions in genlasso (1.6.1)

Fit a sparse variant of the fused lasso

Extract cefficients from a genlasso object

predict.genlasso

Make predictions given a genlasso object

Perform k-fold cross-validation to choose a trend filtering model

Helper functions for constructing generalized lasso penalty matrices

Compute the generalized lasso solution path for arbitrary penalty matrix

Plotting methods for generalized lasso objects

Iterate a genlasso object

Compute the fused lasso solution path for a general graph, or a 1d or 2d grid

Compute the trend filtering solution path for any polynomial order

genlasso-package

Package to compute the solution path of generalized lasso problems