sgs R package

Implementation of Sparse-group SLOPE: Adaptive bi-level with FDR-control (Feser and Evangelou (2023)). Linear and logistic regression models are supported, both of which can be fit using k-fold cross-validation. Dense and sparse input matrices are supported. In addition, a general adaptive three operator splitting (ATOS) implementation is provided.

The package code can be found on GitHub and a reproducible example can be found here.