Computes a decreasing lambda sequence of length d.
The sequence ranges from a data determined maximal lambda \(\lambda_\textrm{max}\) to the user supplied lambda.min.
sgl_lambda_sequence(module_name, PACKAGE, data, parameterGrouping = NULL,
groupWeights = NULL, parameterWeights = NULL, alpha, d = 100,
lambda.min, algorithm.config = sgl.standard.config,
lambda.min.rel = FALSE)reference to objective specific C++ routines.
name of the calling package.
list of data objects -- will be parsed to the specified module.
grouping of parameters, a vector of length \(p\). Each element of the vector specifying the group of the parameters in the corresponding column of \(\beta\).
group weights, a vector of length length(unique(parameterGrouping)) (the number of groups).
parameters weights, a matrix of size \(q \times p\).
the \(\alpha\) value, 0 for group lasso, 1 for lasso, between 0 and 1 gives a sparse group lasso penalty.
the length of the lambda sequence.
the smallest lambda value in the computed sequence.
the algorithm configuration.
is lambda.min relative to lambda.max ? (i.e. actual lambda min used is lambda.min*lambda.max, with lambda.max the computed maximal lambda value)
a vector of length d containing the compute lambda sequence.