BenchOpt is a package to simplify and make more transparent and reproducible the comparisons of optimization algorithms. This benchmark is dedicated to benchmarking algorithms that solve the full lasso path, that is, solving
\min_w \frac{1}{2} \|y - Xw\|^2_2 + \lambda \|w\|_1
for a sequence of \lambda values.
This benchmark can be run using the following commands:
pip install -U benchopt git clone https://github.com/jolars/benchmark_lasso_path benchopt run benchmark_lasso_path
Apart from the problem, options can be passed to benchopt run, to restrict the benchmarks to some solvers or datasets, e.g.:
benchopt run benchmark_lasso_path -s celer -d simulated --max-runs 10 --n-repetitions 10
Use benchopt run -h for more details about these options, or visit https://benchopt.github.io/api.html.