Introducing sgboost: A Practical Guide and Implementation of sparse-group boosting in R (2405.21037v1)

Abstract: This paper introduces the sgboost package in R, which implements sparse-group boosting for modeling high-dimensional data with natural groupings in covariates. Sparse-group boosting offers a flexible approach for both group and individual variable selection, reducing overfitting and enhancing model interpretability. The package uses regularization techniques based on the degrees of freedom of individual and group base-learners, and is designed to be used in conjunction with the mboost package. Through comparisons with existing methods and demonstration of its unique functionalities, this paper provides a practical guide on utilizing sparse-group boosting in R, accompanied by code examples to facilitate its application in various research domains. Overall, this paper serves as a valuable resource for researchers and practitioners seeking to use sparse-group boosting for efficient and interpretable high-dimensional data analysis.