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Scikit-learn compatible implementation of nonconvex sparse estimators for single- and multi-task linear regressions (e.g. SCAD, MCP, l1-group-SCAD, etc).

Project description

ncvx-sparse is a Python library for learning high-dimensional linear regresion models (single- and -multi-task) with nonconvex sparsity (e.g. SCAD, MCP, l1-group SCAD). Solvers are written in Cython and implementation follows the Scikit-learn API.

Refer to the documentation to modify the template for your own scikit-learn contribution.

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