RomainBrault / celer

Fast solver for the Lasso

celer

Fast algorithm to solve the Lasso with dual extrapolation

Documentation

Please visit https://mathurinm.github.io/celer/ for the latest version of the documentation.

Install the released version

Assuming you have a working Python environment, e.g. with Anaconda you can install celer with pip.

From a console or terminal install celer with pip:

pip install -U celer

To setup a fully functional environment we recommend you download this conda environment and install it with:

conda env create --file environment.yml

Install the development version

From a console or terminal clone the repository and install CELER:

git clone https://github.com/mathurinm/celer.git
cd celer/
conda env create --file environment.yml
source activate celer-env
pip install --no-deps -e .

Demos & Examples

You find on the documentation examples on the Leukemia dataset (comparison with scikit-learn) and on the Finance/log1p dataset (more significant, but it takes times to download the data, preprocess it, and compute the path).

Dependencies

All dependencies are in ./environment.yml

Cite

If you use this code, please cite:

Mathurin Massias, Alexandre Gramfort and Joseph Salmon
Celer: Fast solver for the Lasso with dual extrapolation
To appear in ICML 2018

Link: https://arxiv.org/abs/1802.07481