R package SMMA: Soft Maximin Estimation for Large Scale Array-Tensor Models. Efficient design matrix free procedure for solving a soft maximin problem for large scale array-tensor structured models. Currently Lasso and SCAD penalized estimation is implemented.
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References in zbMATH (referenced in 1 article , 1 standard article )
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- Adam Lund, Søren Wengel Mogensen, Niels Richard Hansen: Soft Maximin Aggregation of Heterogeneous Array Data (2018) arXiv