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CLaR

image0 image1

Fast algorithm to solve high dimensional linear regression with correlated noise and multiple measurements

Documentation

Please visit https://qb3.github.io/CLaR/ for the latest version of the documentation.

Install the released version

To setup a fully functional environment we recommend you download this conda environment and install it with:

conda env create --file environment.yml

Install the development version

From a console or terminal clone the repository and install CLaR:

git clone https://github.com/QB3/CLaR.git
conda env create --file environment.yml
source activate clar-env
pip install --no-deps -e .

Demos & Examples

You can find examples here

Dependencies

All dependencies are in ./environment.yml

Cite

If you use this code, please cite:

@article{bertrand2019handling,
title={Handling correlated and repeated measurements with the smoothed multivariate square-root {L}asso},
author={Bertrand, Quentin and Massias, Mathurin and Gramfort, Alexandre and Salmon, Joseph},
year={2019},
journal={NeurIPS}
}

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

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Concomitant Lasso with Repetitions

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