scikit-learn/scikit-learn — pull request #947 by fabianp (2012-07-11 12:11:26+00:00)
Title: Implementation of Group Lasso model

Hi all,

this is my implementation of the Group Lasso using Block Coordinate Descent. Contrary to the Lasso implementation the Cython code is maintained to a minimum and only the coordinate descent innermost loop is compiled code. The duality gap computation is maintained outside the loop.

It should be reasonably fast for small group sizes. For large groups some time could be won by translating into BLAS the innermost loop from the Cython code. However, recent developments [1] suggest that this innermost loop could be substituted with more efficient alternatives, something I am currently looking into.

I think the code as it is here might already be useful for others. Just a little example is missing :-)

Feedback is welcome.

[1] http://www-stat.stanford.edu/~nsimon/SGLpaper.pdf