Lasso

Overview

This is implementation of a coordinate descent for Lasso.

• Lasso [Tibshirani, 1996]
• Coordinate Descent for Lasso [J Friedman et al., 2007;2010]

See this Japanese blog post for details of algorithm.

Tested environment

• python==3.7.2
• numpy==1.15.4
• pandas==0.23.4 (To run a sample file)

Usage

git clone https://github.com/satopirka/Lasso
cd Lasso

from lasso import Lasso
model = Lasso(alpha=1.0, max_iter=1000).fit(X, y)

To run a sample program for Boston dataset,

python sample.py