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