msgl: Multinomial Sparse Group Lasso

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.

Version: 2.3.9
Depends: R (≥ 3.2.4), Matrix, sglOptim (≥ 1.3.7)
Imports: methods, tools, utils, stats
LinkingTo: Rcpp, RcppProgress, RcppArmadillo, BH, sglOptim
Suggests: knitr, rmarkdown
Published: 2019-05-08
Author: Martin Vincent [aut], Niels Richard Hansen [ctb, cre]
Maintainer: Niels Richard Hansen <niels.r.hansen at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: msgl citation info
Materials: NEWS
CRAN checks: msgl results


Reference manual: msgl.pdf
Vignettes: msgl readme
Getting started with msgl


Package source: msgl_2.3.9.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): msgl_2.3.9.tgz, r-oldrel (arm64): msgl_2.3.9.tgz, r-release (x86_64): msgl_2.3.9.tgz, r-oldrel (x86_64): msgl_2.3.9.tgz
Old sources: msgl archive


Please use the canonical form to link to this page.