LassoNAL: version 0 -- a MATLAB software for Lasso regularized linear least squares problems

Xudong Li, Defeng Sun and Kim-Chuan Toh

The software was first released on 16 September 2017. It was last updated in 16 September 2017. The software is designed to solve Lasso regularized linear least squares problems of the form:

\( \qquad\; \min_x \{f(x) + \lambda\, \|x\|_1 \mid x \in \mathbb{R}^{n}\} \)

where \(\lambda > 0\) is a regularization paramter, and \(f(x) = \frac{1}{2}\|A(x)-b\|^2\).

Important note: this is a research software. It is not intended nor designed to be a general purpose software at the moment.


For more details, see:
  • Xudong Li, Defeng Sun, and Kim-Chuan Toh A highly efficient semismooth Netwon augmented Lagrangian method for solving Lasso problems, SIAM J. Optimization, in print.