Libraries implementing the algorithms described in the paper "Exclusive Group Lasso for Structured Variable Selection", available here.
The files are listed below with a short description. Check Matlab help (e.g., help Subset) for more information.
- Subset: Class that describes an exclusive group and implements the main functions acting on it.
- proximal: Proximal operator for the exclusive norm.
- fista: FISTA algorithm for minimization with the exclusive norm as regularizer.
- activeset: Implementation of the active set algorithm for minimization with the squared exclusive norm as regularizer.
- activestring: Implementation of the active set algorithm for minimization with the squared exclusive norm as regularizer. This is a modified version that looks for long strings of consecutive active entries.
- solveRestrictedVar: Algorithm to solve the restricted minimization problem with the squared exclusive norm as regularizer -- exploiting variational formulation.
- solveRestrictedIP: Algorithm to solve the restricted minimization problem with the squared exclusive norm as regularizer -- requires Matlab's Optimization Toolbox.
- fistabasic: Classic FISTA algorithm for minimization with the norm-1 regularizer.
- proximalOverlap: Proximal operator for the group lasso with overlap.
- fistaOverlap: FISTA algorithm for minimization with the "group lasso with overlap" regularizer.
- test: simple example script applying the above algorithms to the same support detection problem and comparing results.