[SciPy-User] [ANN] scikit.statsmodels 0.2.0 release

[David Warde-Farley]

On 18-Feb-10, at 6:28 PM, Robert Kern wrote:

> There's been a recent paper that might be of interest. The associated
> code is GPLed, alas.
>
>  http://www.jstatsoft.org/v33/i01
>
> """
> Abstract:	
> We develop fast algorithms for estimation of generalized linear models
> with convex penalties. The models include linear regression, two-class
> logistic regression, and multi- nomial regression problems while the
> penalties include L1 (the lasso), L2 (ridge regression) and mixtures
> of the two (the elastic net). The algorithms use cyclical coordinate
> descent, computed along a regularization path. The methods can handle
> large problems and can also deal efficiently with sparse features. In
> comparative timings we find that the new algorithms are considerably
> faster than competing methods.
> """

Yep. There's quite a bit of code out there for doing L1 chicanery if  
you're willing to acquiesce to the GPL, also notably this code: http://www.stanford.edu/~boyd/l1_logreg/

David