sparsegl: An R Package for Estimating Sparse Group Lasso

Abstract: The sparse group lasso is a high-dimensional regression technique that is useful for problems whose predictors have a naturally grouped structure and where sparsity is encouraged at both the group and individual predictor level. In this paper we discuss a new R package for computing such regularized models. The intention is to provide highly optimized solution routines enabling analysis of very large datasets, especially in the context of sparse design matrices.