Cited by 1,380Statistical Methods and InferenceSparse and Compressive Sensing TechniquesAdvanced Statistical Methods and Models

A Sparse-Group Lasso

Simon, Noah, Friedman, Jerome, Hastie, Trevor, Tibshirani, Robert·2013·Journal of Computational and Graphical Statistics

Abstract

For high-dimensional supervised learning problems, often using problem-specific assumptions can lead to greater accuracy. For problems with grouped covariates, which are believed to have sparse effects both on a group and within group level, we introduce a regularized model for linear regression with ℓ1 and ℓ2 penalties. We discuss the sparsity and other regularization properties of the optimal fit for this model, and show that it has the desired effect of group-wise and within group sparsity. We propose an algorithm to fit the model via accelerated generalized gradient descent, and extend this model and algorithm to convex loss functions. We also demonstrate the efficacy of our model and the efficiency of our algorithm on simulated data. This article has online supplementary material.

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Crossref · 10.1080/10618600.2012.681250

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Authors
Simon, N., Friedman, J., Hastie, T., & Tibshirani, R.
Affiliations
Stanford University (US)
Venue
Journal of Computational and Graphical Statistics
Published
2013-01
Volume
22
Issue
2
Pages
231-245
ISSN
  • 1061-8600 (ISSN-L)
  • 1537-2715
OpenAlex
W1987371344
Cited by
1,380
References
15
Citations by year
2026: 82 · 2025: 94 · 2024: 125 · 2023: 98 · 2022: 120 · 2021: 152 · 2020: 132 · 2019: 135 · 2018: 93 · 2017: 116 · 2016: 84 · 2015: 71 · 2014: 52 · 2013: 22 · 2012: 2
FWCI
44.86
Type
journal article
Language
en
Open access
closed
Locations
Journal of Computational and Graphical Statistics (publishedVersion)
Topics
  • Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
  • Physical Sciences › Engineering › Computational Mechanics › Sparse and Compressive Sensing Techniques
  • Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
Keywords
sparse group lasso, high-dimensional linear regression, convex loss functions, regularization

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