This document collects some basic information on how the R package sglOptim is implemented, and how it is intended to be used.


The package was originally implemented by Martin Vincent, who also implemented the msgl and lsgl packages based on sglOptim. The package does not provide any directly applicable statistical functionality but it provides generic implementations of sparse group lasso optimization as a C++ template library. Other R packages can then be implemented on top of this package by specifying the details on loss function computation. This is largely done via macros and the implementation of a class representing the loss and its derivatives. The package exploits efficient numerical linear algebra algorithms, including sparse matrix linear algebra, via the C++ template library Armadillo that is available in R via the RcppArmadillo package.

Compiling source code in a package using sglOptim will provide
routines for fitting models, automatic computation of sequences of tuning parameters, and cross-validation/subsampling. Most of the C++ code behind these routines is from sglOptim. The sglOptim package provides, in addition to the C++ template library, some R wrappers for calling the resulting compiled routines. In the orginal implementation, those R wrappers called the compiled routines directly, but this is not acceptable on CRAN anymore because the R wrappers in sglOptim would call compiled code not available to sglOptim itself at compilation/installation time. As a consequence, the R wrappers in sglOptim now calls R functions provided by the package that relies on sglOptim. These R functions are just supposed to be a thin layer around the call of the compiled function. Their implementation will largely be boiler plate code.

The macro specifications

Inclusion of sgl.h header from sglOptim.

Example from msgl

The following code from msgl.cpp defines the dense msgl module. The terminology “module” is used here in the ordinary meaning of a collection of related code implementing the functionality needed for fitting multinomial regression models via sparse group lasso penalized likelihood methods.

// Module name
#define MODULE_NAME msgl_dense

#include "multinomial_loss.h"

#define OBJECTIVE multinomial

#include <sgl/RInterface/sgl_lambda_seq.h>
#include <sgl/RInterface/sgl_fit.h>

#include "multinomial_response.h"
#define PREDICTOR sgl::LinearPredictor < sgl::matrix , MultinomialResponse >

#include <sgl/RInterface/sgl_predict.h>
#include <sgl/RInterface/sgl_subsampling.h>

The code is pure macro specifications. The specified module name and the objective function, as implemented here in the multinomial_loss.h header, and the inclusion of the two relevant sglOptim headers provide routines for tuning parameter computation and model fitting. The subsequent inclusion of the multinomial_response.h header, the specified predictor and the other two sglOptim headers provide prediction and subsampling routines. The routines will have names


The routines are then registrered and available from R. The boiler plate code below shows how the msgl package implements an R function interface that the generic code in sglOptim exploits.

The loss template class

The boiler plate code

Example from msgl

The msgl_dense_sgl_fit function

#' C interface
#' @keywords internal
#' @export
msgl_dense_sgl_fit_R <- function(
  algorithm.config) {
  .Call(msgl_dense_sgl_fit, PACKAGE = "msgl",