Abstract
The LASSO is an L1 penalized regression technique introduced by Tibshirani (1996). An efficient algorithm called the "shooting algorithm" was proposed by Fu (1998) for solving the LASSO problem in the multi parameter case. In this tutorial, we present a simple and self-contained derivation of the LASSO "shooting algorithm".
Download Code
Matlab code for fitting the LASSO model and estimating the regularization parameter can be downloaded here:
lasso_webpage_code_data.zip . This software is freely available under the terms of the
license described below. This zip file includes the following directories:
webpage
This directory contains a standalone version of this webpage
lasso_shooting.html for offline browsing.
code
This directory contains code for:
- fitting a LASSO model: solveLasso.m
- estimating the regularization parameter: estimateLassoLambda.m
- reproducing Figure 1 and Figure 2 in the tutorial: exampleLassoUsage.m
data
This directory contains a MATLAB .mat file:
sampleDataForLasso.mat which contains the data used to generate Figure 1 and Figure 2.
LASSO code by
Gautam V. Pendse is licensed under a
Creative Commons Attribution 3.0 Unported License.