swMATH ID: 20406
Software Authors: Ge J, Li X, Wang M, Zhang T, Liu H, Zhao
Description: R package picasso: Pathwise Calibrated Sparse Shooting Algorithm. Computationally efficient tools for fitting generalized linear model with convex or non-convex penalty. Users can enjoy the superior statistical property of non-convex penalty such as SCAD and MCP which has significantly less estimation error and overfitting compared to convex penalty such as lasso and ridge. Computation is handled by multi-stage convex relaxation and the PathwIse CAlibrated Sparse Shooting algOrithm (PICASSO) which exploits warm start initialization, active set updating, and strong rule for coordinate preselection to boost computation, and attains a linear convergence to a unique sparse local optimum with optimal statistical properties. The computation is memory-optimized using the sparse matrix output.
Homepage: https://cran.r-project.org/web/packages/picasso/index.html
Source Code:  https://github.com/cran/picasso
Dependencies: R
Related Software: R; biglasso; IsingSampler; MIM; covTest; hglasso; MULAN; glasso; glmnet; sparsenet; camel; flare; huge; NESTA
Cited in: 2 Documents

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