Sparse Group Lasso Solver

This is the R package sglOptim version 1.3.8.

R-package Overview

This package doesn’t provide any direct functionality. It is a service package for other R packages, and it provides an implementation of an optimizer of sparse group lasso penalized objective functions. The package is used by the following other R packages:

More details on the algorithm are given in the paper Sparse group lasso and high dimensional multinomial classification.

The loss/objective function must be defined in a C++ module.


Install the released version from CRAN:

Install the version from GitHub:

If you don’t want to build the vignettes when installing, just remove the build_vignettes = TRUE argument.


Martin Vincent wrote the package. Niels Richard Hansen is the current maintainer.


GPL (>=2)