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Are there any references on using (sparse) group Lasso for GLMs? I am interested in Gamma GLMs. Any examples of software to perform this would also be appreciated.

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This article can both be used for reference of group LASSO in GLMs and mentions an implementation in R in the grplasso package, comparing it to the lasso in glmnet. If you are unfamiliar with glmnet, I highly recommend reading up on it as it is a very versatile package for regularization which also includes built in cross-validation functions.

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    $\begingroup$ glmnet doesn't do group LASSO, grplasso does $\endgroup$ – Paul Oct 7 '17 at 4:43
  • $\begingroup$ You may also be interested in the book, Statistical Learning With Sparsity $\endgroup$ – Alex Oct 13 '17 at 11:02

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