This repository containts functions that are translated from R package "SGL" (see [2]) to Matlab to estimate sparse-group LASSO penalized regression model. Main subroutines, which are written in C++, are taken from the R package. See [1] for more details about sparse-group LASSO and the optimization algorithm.
[1] Simon, N., Friedman, J., Hastie, T., & Tibshirani, R. (2013). A sparse-group lasso. Journal of Computational and Graphical Statistics, 22(2), 231-245. https://doi.org/10.1080/10618600.2012.681250
[2] Simon, N., Friedman, J., Hastie, T., & Tibshirani, R. SGL r-package. https://cran.r-project.org/web/packages/SGL/SGL.pdf