vene / pyowl

Ordered Weighted L1 regularization for classification and regression in Python

Repository from Github https://github.comvene/pyowlRepository from Github https://github.comvene/pyowl

pyowl: Ordered Weighted L1 Regularization in Python

OWL vs Lasso example

The OWL norm generalizes L1, L_inf and OSCAR. In particular, OSCAR selects coefficients in groups with equal values, therefore handling highly correlated features in a robust way.

Also known as Sorted L1 norm or SLOPE.

This implementation manages to be very short thanks to the awesome scientific python ecosystem.

About

Ordered Weighted L1 regularization for classification and regression in Python

License:BSD 3-Clause "New" or "Revised" License


Languages

Language:Python 100.0%