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Fast algorithm with dual extrapolation for the Lasso

Project description

# celer

[![](https://travis-ci.org/mathurinm/celer.svg?branch=master)](https://travis-ci.org/mathurinm/celer/) [![](https://codecov.io/gh/mathurinm/celer/branch/master/graphs/badge.svg?branch=master)](https://codecov.io/gh/mathurinm/celer)

Fast algorithm to solve the Lasso with dual extrapolation

# Documentation

Please visit https://mathurinm.github.io/celer/ for the latest version of the documentation.

# Basic instructions Clone the repository:

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

# Demos Lasso path computation on the Leukemia dataset (comparison with scikit-learn): ` $source activate celer-env $ipython %run examples/plot_leukemia_path.py `

Lasso path computation on the Finance/log1p dataset (more significant, but it takes times to download the data, preprocess it, and compute the path): ` $source activate celer-env $ipython %run examples/plot_finance_path.py `

# Dependencies All dependencies are in `./environment.yml`

# Cite If you use this code, please cite [this paper](https://arxiv.org/abs/1802.07481):

Mathurin Massias, Alexandre Gramfort and Joseph Salmon

Dual Extrapolation for Faster Lasso Solvers

Arxiv preprint, 2018

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