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Jun 23, 2011

I want to use LASSO and Group LASSO in JMP

I'm involved in a project where we are applying lasso to build a logistic regression model from a "black box" set of predictors.  I need to get JMP Pro before trying out JMP's implementation.  I'm doing all the analysis in R at present.  Does JMP Pro also include group lasso?  I've found through using JMP Cluster Variables (CLUSVAR) that I can naturally group my predictors prior to group lasso.  For those who may have used group lasso, is this a reasonable approach?  In the literature seemingly all group lasso descriptions assume some a priori knowledge of the correlation structure of the predictors, often defining a cluster as the base covariate and a set of nonlinear transformations on it (x, x^2, x^3).  In my case all the clusters are essentially latent, yet the correlation structure is revealed with Cluster Variables.