This code is no longer maintained.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
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.
Clone the repository:
$git clone firstname.lastname@example.org:mathurinm/A5G.git $cd A5G/ $conda env create --file environment.yml $source activate a5g-env $pip install --no-deps -e .
All dependencies are in
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