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I found Sparse Group lasso by CVX MATLAB and SPAMS was mentioned in the response. Can someone share some sample codes, preferably python, for using Sparse Group lasso in SPAMS?

Thank you!

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Shihgian Lee
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  • Why can't you just implement this in `cvxpy`? You mentioned in your other post that you didn't know how to formulate the problem in `cvx`. It looks straight-forward. Is it not convex? – Alex Alifimoff Feb 12 '16 at 15:45
  • Hi Alex, thank you for the information on cvxpy. Is this the one? - http://www.cvxpy.org/en/latest/. I didn't post the question in other thread. The author found sparse lasso group code in MATLAB that I need to translate into Python. It looks like straightforward minimization/convex problem. If there is a library that I can use, I would like to use it. Do you know any sample code for SPAMS? The worst case is I implement it myself. Thanks! – Shihgian Lee Feb 13 '16 at 23:14

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