#Sparse Group Lasso Projection (SGLP) problem

sglp.c

sglp_admm.m

sglp_dykstra.m

glLeast.c

#Constrained Sparse Group Lasso Problem (CSGLP)

sglLeastC.m

sglLeastC_admm.m

#DC programming for truncated norm

trunc_sglp.c

trunc_sglLeastC.m

trunc_DC_sglLeastC.m

#Usage

The SLEP package is required. You may download the latest version at http://www.public.asu.edu/~jye02/Software/SLEP/.

Compile the c files using ordinary mex tool:

mex sglp.c/glLeast.c/trunc_sglp.c

#include <math.h>

#include "mex.h"

#include "SLEP_4.0/SLEP/CFiles/q1/epph.h"

void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])

{

double *v, *ind, *w, *u, *x, *lambda;

double radius, lambda0, sum;

int n, grpNum;

int i, j, k, steps, be, en;

if(nlhs != 2)

mexErrMsgTxt("Error: Number of output parameter does not match.");

if(nrhs !=5)

mexErrMsgTxt("Error: Number of input parameter does not match.");

n = mxGetNumberOfElements(prhs[0]);

grpNum = mxGetNumberOfElements(prhs[2]) - 1;

lambda0 = .0;

v = mxGetPr(prhs[0]);

radius = mxGetScalar(prhs[1]);

ind = mxGetPr(prhs[2]);

w = mxGetPr(prhs[3]);

u = mxGetPr(prhs[4]);

plhs[0] = mxCreateDoubleMatrix(n, 1, mxREAL);

plhs[1] = mxCreateDoubleMatrix(1, 1, mxREAL);

x = mxGetPr(plhs[0]);

lambda = mxGetPr(plhs[1]);

for(i = 0; i < grpNum; i++)

{

sum = .0;

be = (int)ind[i], en = (int)ind[i+1];

for(j = be; j < en; j++)

sum += v[j] * v[j];

w[i] = sqrt(sum);

}

eplb(u, lambda, &steps, w, grpNum, radius, lambda0);

for(i = 0, j = 0; j < grpNum; j++)

{

be = (int)ind[j], en = (int)ind[j+1];

if(fabs(w[j]) > 1e-15)

for(i = be; i < en; i++)

x[i] = u[j] * v[i] / w[j];

else

for(i = be; i < en; i++)

x[i] = 0;

}

}