Groupyr: Sparse Group Lasso in Python

For high-dimensional supervised learning, it is often beneficial to use domain-specific knowledge to improve the performance of statistical learning models. When the problem contains covariates which form groups, researchers can include this grouping information to find parsimonious representations of the relationship between covariates and targets. These groups may arise artificially, as from the polynomial expansion of a smaller feature space, or naturally, as from the anatomical grouping of different brain regions or the geographical grouping of different cities. When the number of features is large compared to the number of observations, one seeks a subset of the features which is sparse at both the group and global level.