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.

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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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