Picasso: A Sparse Learning Library for High Dimensional Data Analysis in R and Python

• URL: http://arxiv.org/abs/2006.15261v1
• Date: Sat, 27 Jun 2020 02:39:24 GMT
• Title: Picasso: A Sparse Learning Library for High Dimensional Data Analysis in R and Python
• Authors: Jason Ge, Xingguo Li, Haoming Jiang, Han Liu, Tong Zhang, Mengdi Wang, Tuo Zhao
• Abstract summary: We describe a new library which implements a unified pathwise coordinate optimization for a variety of sparse learning problems. The library is coded in R++ and has user-friendly sparse experiments.
• Score: 77.33905890197269
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We describe a new library named picasso, which implements a unified framework of pathwise coordinate optimization for a variety of sparse learning problems (e.g., sparse linear regression, sparse logistic regression, sparse Poisson regression and scaled sparse linear regression) combined with efficient active set selection strategies. Besides, the library allows users to choose different sparsity-inducing regularizers, including the convex $\ell_1$, nonconvex MCP and SCAD regularizers. The library is coded in C++ and has user-friendly R and Python wrappers. Numerical experiments demonstrate that picasso can scale up to large problems efficiently.

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