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Concomitant Lasso with Repetitions
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clar
.gitignore ENH added file to generate data + pytest line in .travis.yml Mar 17, 2019
.travis.yml CLaR-env >> clar-env Mar 19, 2019
README.rst
environment.yml
example.py
pytest.ini
setup.py

README.rst

CLaR

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This package implements the CLaR alorithm, a fast algorithm to handle sparse linear regression with heteroscedastic noise, see: Bertrand, Q., Massias, M., Gramfort, A., & Salmon, J. (2019). Concomitant Lasso with Repetitions (CLaR): beyond averaging multiple realizations of heteroscedastic noise. arXiv preprint arXiv:1902.02509.

It also implements a variation of the MRCE algorithm with a L21 penalization on the regression coefficient Beta, and which take in account the repetitions see Rothman, A. J., Levina, E., & Zhu, J. (2010). Sparse multivariate regression with covariance estimation. Journal of Computational and Graphical Statistics, 19(4), 947-962.

To be able to run the code you first need to run, in this folder: `pip install -e .`

After that, `python -c "import clar"` should run smoothly, and you can execute the example.py file.

ArXiv link: https://export.arxiv.org/abs/1902.02509

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