AleksandraSteiner/GSoC

Easy: download the development version of the R package SLOPE (devtools::install_github("jolars/SLOPE")). Fit SLOPE and lasso (hint: see the lambda argument in SLOPE()) models using the SLOPE package to the abalone data set that comes with SLOPE. Plot the results. What are the similarities and differences? Medium: write a function using RcppArmadillo that computes the proximal operator for SLOPE using Algorithm 3 (FastProxSL1) from Bogdan et al 2015 (SLOPE: adaptive variable selection via convex optimization). Compare the result with SLOPE:::prox_sorted_L1() (observe that this function uses a different algorithm than the one you are supposed to implement) Hard: write an R package using RcppArmadillo (as a backend) that uses FISTA or ADMM to solve ordinary least squares regression using SLOPE. Make use of the function to compute the proximal operator that you implemented in the previous test.

R