WARNING:

This code is no longer maintained. We recommend you use the celer package instead.

Aggressive gap screening rules for faster Lasso-type solvers

This repository hosts the implementation of fast solvers for the Lasso and multi-task Lasso problem.

The algorithms are in ./a5g/*_fast.pyx. Currently implemented are:

• Lasso solver on dense and sparse data
• Multi-task Lasso solver on dense data (aka Group Lasso with groups equal to rows)

The algorithms are written in Cython, using calls to BLAS when possible.

Installation

Clone the repository:

$git clone git@github.com:mathurinm/A5G.git
$cd A5G/
$conda env create --file environment.yml
$source activate a5g-env
$pip install --no-deps -e .

Dependencies

All dependencies are in ./environment.yml

Cite

If you use this code, please cite this paper:

Mathurin Massias, Alexandre Gramfort and Joseph Salmon

From safe screening rules to working sets for faster Lasso-type solvers

Arxiv preprint, 2017