GAP Safe Screening Rules for Sparse-Group Lasso.
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LICENCE
README.md
example.py
setup.py
sgl.py
sgl_fast.pyx
sgl_tools.py

README.md

GAP Safe Screening Rules for Sparse-Group-Lasso

See http://arxiv.org/abs/1602.06225

In this repository, we propose an efficient implementation to solve the Sparse-Group-Lasso (with optional elastic net regularization) using a block coordinate descent algorithm with safe screening rules.

Examples on synthetic dataset are presented in examples.ipynb (example.py for a pure python version).

This package has the following requirements:

  • Python (version 2.7)
  • Cython
  • Numpy (tested with version 0.16)
  • Scipy (at least version 0.16.1)

We recommend to install or update anaconda (at least version 0.16.1).

The compilation proceed as follows:

  • $ cython sgl_fast.pyx
  • $ python setup.py build_ext --inplace