Hi there, I’m a Master’s student in Statistics. I’ve recently been researching ‘safe screening rules’ for accelerating Lasso solvers. These can improve computation times by orders of magnitude when the number of features is large. I’d like to create a package implementing these methods in Julia to…

When implementing a specific, mostly standalone algorithm, I think it is best to put it in a small package, well-tested, documented, with a very lightweight interface. This has the following advantages: the code should remain functional work a long time, because of the simple setup, and should be…

Personally, I prefer fewer packages. But sometimes a PR is a drain on another maintainer’s time so it’s a difficult one. I would write the code and keep it in a separate repo first, and then once i am happy with the result, I would write to the Lasso.jl maintainer to see if there’s apetite and band…

I spent some time thinking about this. There are some areas in the Julia ecosystem that are pretty organized, where cooperation is easy. This doesn’t seem like one of those areas…yet Here are some packages for penalized regression: MLJ Linear Models @tlienart might be your best bet Sparse Regres…

This is extremely helpful. Thank you.

Jeez, that’s a lot of packages for regression! I actually tried searching for sparse regression solvers in Julia and the only packages I came across were Lasso.jl and glmnet.jl within the JuliaStats ecosystem. Either I’m awful at searching for Julia packages, or these packages are difficult to find…

I copy and pasted these packages from a list I had prepared months ago when I was new to Julia & wanted to contribute to some of the ML packages. There is a ton of great Julia stuff that is hard to discover. Here is what I wrote about this in March: [image] JuliaPDE: Survey of PDE Packages If …

all this being said… In my opinion all “penalized regression” can be thought of as Bayesian models with MAP estimators… instead of having lots of different ways of achieving that, it’s better to have a general purpose modeling language and some really good optimization routines… voila you have regre…

@barankarakus were you able to complete your faster Lasso solver?

Seeking advice on contributing to Julia: A faster Lasso solver

Specific Domains Statistics

barankarakus July 4, 2020, 1:30am 9

This is great, thanks for your input. You’ve convinced me to go down this route!

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Seeking advice on contributing to Julia: A faster Lasso solver

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