msgl (2.3.7)

Multinomial Sparse Group Lasso.

http://www.sciencedirect.com/science/article/pii/S0167947313002168
https://github.com/nielsrhansen/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 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.

Maintainer: Niels Richard Hansen
Author(s): Martin Vincent [aut], Niels Richard Hansen [ctb, cre]

License: GPL (>= 2)

Uses: Matrix, sglOptim, knitr, rmarkdown

Released about 1 year ago.