Description
L1 Regularized Regression (Lasso) Solver using the Cyclic Coordinate Descent Algorithm aka Lasso S….
Description
L1 regularized regression (Lasso) solver using the Cyclic Coordinate Descent algorithm aka Lasso Shooting is fast. This implementation can choose which coefficients to penalize. It support coefficient-specific penalties and it can take X'X and X'y instead of X and y.