Regression for Sparse Signal

Implemented Models:

• Elastic Net
• Lasso

Todo

• Group Lasso

References

• Regularization Paths for Generalized Linear Models via Coordinate Descent, Jerome Friedman, Trevor Hastie and Rob Tibshirani, Journal of Statistical Software, Volume 33, Issue 1, (2010).

• Pathwise Corrdinate Optimization, Jerome Friedman, Trevor Hastie and Rob Tibshirani, https://arxiv.org/abs/0708.1485