CoordinateDescent.jl

Build Statuscodecov

Implements coordinate descent for a smooth function plus penalty that decomposes across coordinates.

Curently a naive version of the active-set coordinate descent is implemented that works for L1 and weighted L1 penalty.

Examples:

  • Lasso
  • Sqrt-Lasso
  • Scaled-Lasso

Package depends on ProximalBase.jl