# README

#### 2019-05-07

## Sparse Group Lasso Solver

This is the R package sglOptim version 1.3.8.

### R-package Overview

This package doesn’t provide any direct functionality. It is a service package for other R packages, and it provides an implementation of an optimizer of sparse group lasso penalized objective functions. The package is used by the following other R packages:

- For fitting multivariate linear regression models using sparse group lasso see the lsgl R package.
- For fitting multinomial classification models using sparse group lasso see the msgl R package.

More details on the algorithm are given in the paper Sparse group lasso and high dimensional multinomial classification.

The loss/objective function must be defined in a C++ module.

### Installation

Install the released version from CRAN:

    install.packages("sglOptim")

Install the version from GitHub:

    # install.packages("devtools")
    devtools::install_github("nielsrhansen/sglOptim", build_vignettes = TRUE)

If you don’t want to build the vignettes when installing, just remove the `build_vignettes = TRUE` argument.

### Author

Martin Vincent wrote the package. Niels Richard Hansen is the current maintainer.

### License

GPL (>=2)