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.
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.