Path Algorithm for Generalized Lasso Problems

Provides fast algorithms for computing the solution path for generalized lasso problems. Important use cases are the fused lasso over an arbitrary graph, and trend fitting of any given polynomial order. Specialized implementations for the latter two problems are given to improve stability and speed.


News

genlasso: version 1.3

  • Added option for trend filtering with arbitrary positions and an X matrix
  • Added option for trend filtering, fused lasso with a wide X matrix
  • Added option for genlasso to use a slow but stable SVD-based implementation
  • Removed filebacking option

genlasso: version 1.2

  • Added iterate function
  • Reintroduced option to trend filtering with arbitrary input positions

genlasso: version 1.1

  • Fixed ridge bug in genlasso
  • Removed option to run trend filtering with arbitrary input positions
  • Fixed df bug in coef.genlasso
  • Fixed indexing bug in cv.trendfilter
  • Fixed dimensions bug in genlasso

genlasso: version 1.0

  • Off the ground, up and running!

Reference manual

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install.packages("genlasso")

1.4 by Taylor Arnold, 13 days ago


https://github.com/statsmaths/genlasso


Browse source code at https://github.com/cran/genlasso


Authors: Taylor B. Arnold and Ryan J. Tibshirani


Documentation:   PDF Manual  


GPL (>= 2.0) license


Depends on MASS, Matrix, igraph


See at CRAN