Implementation of Sparse-group SLOPE (SGS) (Feser and Evangelou (2023) <doi:10.48550/arXiv.2305.09467>
) models. Linear and logistic regression models are supported, both of which can be fit using k-fold cross-validation. Dense and sparse input matrices are supported. In addition, a general Adaptive Three Operator Splitting (ATOS) (Pedregosa and Gidel (2018) <doi:10.48550/arXiv.1804.02339>
) implementation is provided. Group SLOPE (gSLOPE
) (Brzyski et al. (2019) <doi:10.1080/01621459.2017.1411269>) and group-based OSCAR models (Feser and Evangelou (2024) <doi:10.48550/arXiv.2405.15357>
) are also implemented. All models are available with strong screening rules (Feser and Evangelou (2024) <doi:10.48550/arXiv.2405.15357>
) for computational speed-up.