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.

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

Cite

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