msgl (2.2.1)

High Dimensional Multiclass Classification Using Sparse Group Lasso.

http://dx.doi.org/10.1016/j.csda.2013.06.004 https://github.com/vincent-dk/ msgl
http://cran.r-project.org/web/packages/msgl

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 multiple processors for cross validation and subsampling is supported through OpenMP. Development version is on github, please report package issues on github.

Maintainer: Martin Vincent
Author(s): Martin Vincent

License: GPL (>= 2)

Uses: Matrix, sglOptim, knitr

Released over 3 years ago.