LASSO, sparse group LASSO, elastic net

LARS: efficient algorithm to solve lasso

Least angle regression

elastic net: in case of collinear dictionary atoms, it will pick collinear atoms together, or drop them together.

Regularization and variable selection via the elastic net

group lasso: in the extreme case, it behavors like lasso, however in a group manner, i.e. a group is either picked or dropped, and sparsity is obtained at the group level, but within each group, sparsity can't be guarantteed.

Model selection and estimation in regression with grouped variables

sparse group lasso: sparsity is gotten at both group level and within each group.

A note on the group lasso and a sparse group lasso

adaptive lasso:

The adaptive lasso and its oracle properties

Packages:

(1) LARS: l1-magic http://statweb.stanford.edu/~candes/l1magic/

(2) CRAN - Package glmnet, Package 'glmnet'

(3) SPAMS: http://spams-devel.gforge.inria.fr/

(4) SLEP: http://www.public.asu.edu/~jye02/Software/SLEP/

(5) SIRS: http://www-bcf.usc.edu/~jinchilv/publications/software/

本文引用地址： http://blog.sciencenet.cn/blog-284987-741425.html