lasso

Self-implemented version of LASSO

Comments

• Accelerated by
  • pre-storage
  • normalization
• Resulted in only an order of magnitude slower than LASSO in sklearn

Example

from lasso import Lasso

# general fit
lmd = 0.1
model = Lasso()
model.fit(y, X, lmd)
model.predict(X)
model.score(y, X)

# draw beta convergence path
model = Lasso()
model.path_fit(y, X)
model.draw_beta_path()