A decomposition method for lasso problems with zero-sum constraint

Active-Set Zero-Sum-Lasso (AS-ZSL) is a solver for the following lasso problem with zero-sum constraint:

with given matrix A, vector y and non-negative scalar λ.

AS-ZSL combines a tailored active-set technique, to identify the zero variables in the optimal solution, with a 2-coordinate descent scheme.

This software is written in C++ and can be called from Matlab using a MEX file.

Reference paper

A. Cristofari (2022). A decomposition method for lasso problems with zero-sum constraint. arXiv preprint 2204.07065.

Author

Andrea Cristofari (e-mail: andrea.cristofari@uniroma2.it)

Licensing

AS-ZSL is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. AS-ZSL is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with AS-ZSL. If not, see http://www.gnu.org/licenses/.

Copyright 2022 Andrea Cristofari.

How to use AS-ZSL in Matlab

1. This directory should contain the following files:

   • as_zsl.cpp,
   • as_zsl.h,
   • as_zsl_matlab.cpp,
   • COPYING.txt,
   • main.m,
   • make.m,
   • README.md,
   • usage.txt.

2. In Matlab, run make.m to build the MEX file.

3. See the file usage.txt to know how to call AS-ZSL from Matlab, change algorithm parameters and get output values.

4. See the file main.m for an example. To run the example, just call main.m in Matlab.