hsm

The R package implements the algorithm for solving proximal operator of the latent group lasso, introduced as Algorithm 4 in Yan, X. and Bien, J. (2017) "Hierarchical Sparse Modeling: A Choice of Two Group Lasso Formulations".

To install hsm using the devtools R package, type

devtools::install_github("yanxht/hsm", build_vignettes = TRUE)

in R. This installs hsm and builds its vignette. Learn to use hsm with its vignette by typing

vignette("hsm-vignette")

in R.