[julia-users] Re: Achitecture for solving largish LASSO/elasticnet problem

[Josh Day]

I'm working on https://github.com/joshday/SparseRegression.jl for penalized 
regression problems.  I'm still optimizing the code, but a test set of that 
size is not a problem.  

julia> n, p = 1000, 262144; x = randn(n, p); y = x*randn(p) + randn(n);

julia> @time o = SparseReg(x, y, ElasticNetPenalty(.1), Fista(tol = 1e-4, 
step = .1), lambda = [.5])
 22.356062 seconds (1.69 k allocations: 408.851 MB, 0.16% gc time)
■ SparseReg
  >      Model:  SparseRegression.LinearRegression()
  >    Penalty:  ElasticNetPenalty (α = 0.1)
  >  Intercept:  true
  >         nλ:  1
  >  Algorithm:  Fista