by Harold A. Hernández Roig (October, 2018)
- Run script "main.m". It already have some predifined values to show how well the algorithms work.
- The central core of this work are the functions:
- CD_BW_lasso: (Block-Wise) Coordinate Descent Algoritm for Penalized (LASSO) Least Square Regression.
- coor_desc_lasso: Cyclical (Block-Wise) Coordinate Descent Algoritm for Penalized (LASSO) Least Square Regression. Usage of soft-trhesholding included.
- SGD_lasso: Stochastic Gradient Descent for Penalized (LASSO) Least Square Regression.
- SGD_Momentum_lasso: Stochastic Gradient Descent with Momentum for Penalized (LASSO) Least Square Regression.
- There are also 2 secondary functions:
- sample_data: generates a simulated (sparse) dataset
- S_lambda: soft-trhesholding function for "coor_desc_lasso"