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Add Sparse Group Lasso to Available Penalties #19

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michaelweylandt opened this issue Aug 14, 2018 · 0 comments
Open

Add Sparse Group Lasso to Available Penalties #19

michaelweylandt opened this issue Aug 14, 2018 · 0 comments
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Penalties Issues / feature requests related to supported penalty functions

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@michaelweylandt
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It should be possible to add the sparse group lasso penalty of https://www.tandfonline.com/doi/abs/10.1080/10618600.2012.681250 (among others).

In particular, equation (11) of https://arxiv.org/pdf/1801.09661.pdf gives a simple closed form proximal operator.
@michaelweylandt michaelweylandt added the Penalties Issues / feature requests related to supported penalty functions label Aug 14, 2018
@Banana1530 Banana1530 mentioned this issue Aug 21, 2019
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