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A simple 1-D LASSO regression method for problems of the form: min_beta || beta x - y ||_1.
An L-1 "trend filter" wrapper for Stanford SOL lab's PDCO interior point solver.
Routine for estimating Multinomial Logit (MNL) models using the SNOPT software (not included here).
Support Vector Machine estimation routines using SNOPT (not included here)
"Extras" I've found useful working with the SNOPT optimization software.
Some extras useful when working with the KNITRO optimization software.