Randomized Frank-Wolfe algorithm for fast and scalable Lasso regression (C++ code)
https://www.esat.kuleuven.be/stadius/ADB/frandi/FWLasso.php
DISCLAIMER:
The software is made available for non commercial research purposes only under the GNU General Public License. However, notwithstanding any provision of the GNU General Public License, The software may not be used for commercial purposes without explicit written permission after contacting johan.suykens@esat.kuleuven.be and emanuele.frandi@esat.kuleuven.be.
MAIN DEVELOPERS:
Emanuele Frandi (emanuele.frandi@esat.kuleuven.be), Ricardo Nanculef (jnancu@inf.utfsm.cl)
REFERENCES:
Frandi E., Nanculef R., Lodi S., Sartori C., Suykens J.A.K., "Fast and Scalable Lasso via Stochastic Frank-Wolfe Methods with a Convergence Guarantee", Internal Report 15-93, ESAT-STADIUS, KU Leuven, 2015.