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Sparse-Group Lasso

This code is my implementation (in Python) of the methods presented in the paper:

A Sparse-group Lasso. Noah Simon, Jerome Friedman, Trevor Hastie, Rob Tibshirani http://www.stanford.edu/~hastie/Papers/SGLpaper.pdf

*_semisparse variants of the methods correspond to cases where one would allow sparsity for some dimensions but not all (for the L1-norm penalty). In these cases, an indicator vector ind_sparse should be given that has 0 values for dimensions that should not be pushed towards sparsity and 1 values otherwise. Typical function calls are given in the test_sgl.py script (models are sklearn-like objects).

For more information, you can also refer to this notebook.

Yet to do

  • Add proper docstrings