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LARS algorithm

Category: misc
#scikit-learn #sparse

By Fabian Pedregosa.

I've been working lately with Alexandre Gramfort coding the LARS algorithm in scikits.learn. This algorithm computes the solution to several general linear models used in machine learning: LAR, Lasso, Elasticnet and Forward Stagewise. Unlike the implementation by coordinate descent, the LARS algorithm gives the full coefficient path along the …