Fast algorithm with dual extrapolation for the Lasso
Project description
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.
Install the released version
Assuming you have a working Python environment, e.g. with Anaconda you can install celer with pip.
From a console or terminal install celer with pip:
pip install -U celer
To setup a fully functional environment we recommend you download this conda environment and install it with:
conda env create --file environment.yml
Install the development version
From a console or terminal clone the repository and install CELER:
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 & Examples
You find on the documentation examples on the Leukemia dataset (comparison with scikit-learn) and on the Finance/log1p dataset (more significant, but it takes times to download the data, preprocess it, and compute the path).
Dependencies
All dependencies are in ./environment.yml
Cite
If you use this code, please cite:
@InProceedings{pmlr-v80-massias18a, title = {Celer: a Fast Solver for the Lasso with Dual Extrapolation}, author = {Massias, Mathurin and Gramfort, Alexandre and Salmon, Joseph}, booktitle = {Proceedings of the 35th International Conference on Machine Learning}, pages = {3321--3330}, year = {2018}, volume = {80}, }
ArXiv link: https://arxiv.org/abs/1802.07481
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