shogun-toolbox/shogun — pull request #1044 by cesarfm (2013-05-02 20:32:56+00:00)
Title: Group lasso example

Hello,

I have added an example for group lasso (using FeatureBlockLogisticRegression), in response to https://github.com/shogun-toolbox/shogun/issues/864.
The example uses synthetic data generated in a similar way than the one described in [Friedman10], and performs the same analyses (I include a screenshot of the results).
The first two plots show the consistency between the true coefficients and the signs of the estimated coefficients for both Group lasso and Lasso; they show the desired effect, i.e. Group lasso provides sparsity at the group level but does not yield sparsity within a group. Lasso on the other hand yields sparseness at the individual level but not necessarily at the group level (see 7th and 8th groups in the second plot).
One can also change the seed, or easily play with the parameters.
It would be nice to have sparse group lasso in the future (as in the paper), that should be straightforward to add to the example :-)

Best,
Cesar Fuentes

![group_lasso](https://f.cloud.github.com/assets/1681733/456205/91188cd6-b365-11e2-8395-e3e4b09d0094.png)