Celer

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.

Installation

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.

From a Python shell you can just do:

>>> import celer

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

Cite

If you use this code, please cite:

 @InProceedings{pmlr-v80-massias18a,
                title = {Celer: a Fast Solver for the Lasso with Dual Extrapolation},
                author = {Massias, Mathurin and Gramfort, Alexandre and Salmon, Joseph},
                booktitle = {Proceedings of the 35th International Conference on Machine Learning},
                pages = {3321--3330},
                year = {2018},
                volume = {80},
}

ArXiv link: https://arxiv.org/abs/1802.07481

ICML link: http://proceedings.mlr.press/v80/massias18a.html

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