celer.celer(X, y, alpha, w_init=None, max_iter=100, gap_freq=10, max_epochs=50000, p0=10, verbose=1, verbose_inner=0, tol=1e-06, prune=0, positive=False, return_n_iter=False)

Compute the Lasso solution with the Celer algorithm.

The minimized objective function is:

||y - X w||_2^2 / (2 * n_samples) + alpha * ||w||_1
X : {array-like, sparse matrix}, shape (n_samples, n_features)

Training data. Pass directly as Fortran-contiguous data or column sparse format (CSC) to avoid unnecessary memory duplication.

y : array-like, shape (n_samples,)

Observation vector.

alpha : float

Value of the Lasso regularization parameter.

w_init : array-like, shape (n_features,), optional

Initial value for the coefficients vector.

max_iter : int, optional

Maximum number of outer loop (working set definition) iterations.

gap_freq : int, optional

Number of epochs between every gap computation in the inner solver.

max_epochs : int, optional

Maximum number of epochs for the coordinate descent solver called on the subproblems.

p0 : int, optional

Size of the first working set.

verbose : (0, 1), optional

Verbosity level of the outer loop.

verbose_inner : (0, 1), optional

Verbosity level of the inner solver.

tol : float, optional

Optimization tolerance: the solver stops when the duality gap goes below tol or the maximum number of iteration is reached.

prune : (0, 1), optional

Whether or not to use pruning when growing the working sets.

positive : bool, optional (default=False)

When set to True, forces the coefficients to be positive.

return_n_iter : bool, optional (default=False)

Whether or not to return the number of iterations (ie the number of subproblems solved).

w : array, shape (n_features,)

Estimated coefficient vector.

theta : array, shape (n_samples,)

Dual point (potentially accelerated) when the solver exits.

gaps : array

Duality gap at each outer loop iteration.

times : array

Time elapsed since entering the solver, at each outer loop iteration.

n_iter : int

Number of iterations (subproblems solved). Returned only if return_n_iter is True.

Fork me on GitHub