CoordinateDescent.jl

Coordinate descent
Author mlakolar
Popularity
0 Stars
Updated Last
1 Year Ago
Started In
March 2015

CoordinateDescent.jl

Build Status codecov

Implements coordinate descent for a smooth function plus penalty that decomposes across coordinates.

Curently a naive version of the active-set coordinate descent is implemented that works for L1 and weighted L1 penalty.

Examples:

  • Lasso
  • Sqrt-Lasso
  • Scaled-Lasso

Package depends on ProximalBase.jl

Used By Packages

No packages found.