Coordinate descent
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README.md

CoordinateDescent.jl

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Implements coordinate descent for a smooth function plus penalty that decomposes across coordinates.

Curently a naive version of the active-set coordinate descent is implemented that works for L1 and weighted L1 penalty.

Examples:

  • Lasso
  • Sqrt-Lasso
  • Scaled-Lasso

Package depends on ProximalBase.jl