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A Coordinate Descent Based Approach to Solving the Sparse Group Elastic Net
Group sparse approaches to regression modeling are finding ever increasing utility in an array of application areas. While group sparsity can help assess certain data structures, it is desirable in many instances to also capture element-wise sparsity. Recent work exploring the latter has been conducted in the context of l2/l1 penalized regression in the form of the sparse group lasso (SGL). Here, we present a novel model, called the sparse group elastic net (SGEN), which uses andoi:10.6084/m9.figshare.4484036.v1 fatcat:fkgfumttczbdhgqsztmsfdisba