This is a library to run the Constraint Elimination for the Lasso with Extrapolated Residuals (Celer) algorithm [1]. This algorithm uses an extrapolated dual point which enables a tight control of optimality and quick feature identification.


First clone the repository available at https://github.com/mathurinm/celer:

$ git clone https://github.com/mathurinm/celer.git
$ cd celer/

We recommend to use the Anaconda Python distribution, and create a conda environment with:

$ conda env create --file environment.yml

Then, you can compile the Cython code and install the package with:

$ source activate celer-env
$ pip install --no-deps -e .

To check if everything worked fine, you can do:

$ source activate celer-env
$ python -c 'import celer'

and it should not give any error message.

If you don’t want to use Anaconda, the list of packages you need to install is in the environment.yml file.


[1] Mathurin Massias, Alexandre Gramfort and Joseph Salmon, “Dual Extrapolation for Faster Lasso Solvers”, ArXiv Preprint, 2018, https://arxiv.org/abs/1802.07481
Fork me on GitHub