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Are there any references on using (sparse) group Lasso for GLMs? I am interested in Gamma GLMs. Any examples of software to perform this would also be appreciated.

user90772
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This article can both be used for reference of group LASSO in GLMs and mentions an implementation in R in the grplasso package, comparing it to the lasso in glmnet. If you are unfamiliar with glmnet, I highly recommend reading up on it as it is a very versatile package for regularization which also includes built in cross-validation functions.

Frans Rodenburg
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    `glmnet` doesn't do group LASSO, `grplasso` does – Paul Oct 07 '17 at 04:43
  • You may also be interested in the book, [Statistical Learning With Sparsity](https://web.stanford.edu/~hastie/StatLearnSparsity_files/SLS_corrected_1.4.16.pdf) – Alex Oct 13 '17 at 11:02