msgl_sparse_sgl_lambda_R

internal

Multinomial logistic regression with sparse group lasso
penalty. Simultaneous feature selection and parameter
estimation for classification. Suitable for high dimensional
multiclass classification with many classes. The algorithm
computes the sparse group lasso penalized maximum likelihood
estimate. Use of parallel computing for cross validation and
subsampling is supported through the 'foreach' and 'doParallel'
packages. Development version is on GitHub, please report
package issues on GitHub.

Niels Richard Hansen

msgl

msgl_sparse_sgl_lambda_R: C interface

Description

Usage

Arguments