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CederGroupHub / sparse-lm

Sparse Linear Regression Models
https://cedergrouphub.github.io/sparse-lm
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Overlap Group Lasso Classification ? #101

Open joannagiemza opened 1 year ago

joannagiemza commented 1 year ago

Is your feature request related to a problem? Please describe. I have started using your library because I wanted to move my Overlap Group Lasso model from R (grpregOverlap library) to python. However, I more often need to do classification than regression, I am not sure it is possible at the moment with sparse-lm

Describe the solution you'd like OverlapGroupLassoClassifier

Describe alternatives you've considered I am not aware of other python libraries doing that and rpy2 was a pain to use. If you know python alternatives, let me know

lbluque commented 1 year ago

Hi @joannagiemza :wave: You are right that our current implementation only supports regression. Unfortunately, I don't know of other Python libraries that support OGL for classification.

Additionally, although our OGL implementation works correctly, it is not the most efficient implementation, since it scales poorly with the degree of overlap (at some point I will re-implement).