satopirka/Lasso

This is implementation Lasso with Coordinate Descent and LARS (Least Angle Regression).

Lasso

Overview

This is implementation of Lasso.

• Lasso [Tibshirani, 1996]
• Coordinate Descent for Lasso [J Friedman et al., 2007;2010]
• Least Angle Regression (LARS) [Efron et al., 2004]

See the following blog entries written in Japanese for details of algorithm.

• Coordinate Descent Explained
• LARS Explained

Tested environment

• python==3.8.3
• numpy==1.18.5
• sklearn==0.23.2