SuiteLasso: a MATLAB suite for regression problems with generalized Lasso regularizers

Xudong Li, Defeng Sun and Kim-Chuan Toh

The software was first released on January 2019. It was last updated in January 2019. The software is designed to solve linear least squares problems with various generalized lasso regularizers. Currently, it can handle the following regularizers:

  1. Classic Lasso

    Solver: ClassicLasso_SSNAL.m

  2. Fused Lasso

    where and are regularization parameters, and .

    Solver: FusedLasso_SSNAL.m

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


Citation:
  1. Xudong Li, Defeng Sun, and Kim-Chuan Toh, A highly efficient semismooth Netwon augmented Lagrangian method for solving Lasso problems, _SIAM Journal on Optimization, 28 (2018), 433--458.
  2. Xudong Li, Defeng Sun, and Kim-Chuan Toh, On efficiently solving the subproblems of a level-set method for fused lasso problems,  SIAM J. Optimization, 28 (2018), 1842--1866.


Download:

You can download the package here: SuiteLasso-0.zip

Please read. Welcome to SuiteLasso-0!