Picasso: A sparse learning library for high dimensional data analysis in R and python

Jason Ge, Xingguo Li, Haoming Jiang, Han Liu, Tong Zhang, Mengdi Wang, Tuo Zhao

Research output: Contribution to journalArticle

Abstract

We describe a new library named picasso 1, 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 '1, nonvoncex 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.

Original languageEnglish (US)
JournalJournal of Machine Learning Research
Volume20
StatePublished - Mar 1 2019

All Science Journal Classification (ASJC) codes

  • Software
  • Control and Systems Engineering
  • Statistics and Probability
  • Artificial Intelligence

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