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:
where is a regularization parameter, and .
Important note: this is a research software. It is not intended nor designed to be a general purpose software at the moment.
Xudong Li, Defeng Sun, and Kim-Chuan Toh. (2018) A highly efficient semismooth Netwon augmented Lagrangian method for solving Lasso problems, SIAM Journal on Optimization, 28(1), 433--458.
You can download the package here: LassoNAL-0.zip
Please read. Welcome to LassoNAL-0!
Firstly, unpack the software:
Run Matlab in the directory LassoNAL-0
After that, to see whether you have installed LassoNAL-0 correctly, type:
By now, LassoNAL is ready for you to use.