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vene / lbfgs_l1logistic.py
Last active January 14, 2023 20:30
Solving L1-regularized problems with l-bfgs-b
"""l-bfgs-b L1-Logistic Regression solver"""
# Author: Vlad Niculae <vlad@vene.ro>
# Suggested by Mathieu Blondel
from __future__ import division, print_function
import numpy as np
from scipy.optimize import fmin_l_bfgs_b
"""
================================================================
Compute sparse inverse solution with mixed norm: MxNE and irMxNE
================================================================
Runs an (ir)MxNE (L1/L2 [1]_ or L0.5/L2 [2]_ mixed norm) inverse solver.
L0.5/L2 is done with irMxNE which allows for sparser
source estimates with less amplitude bias due to the non-convexity
of the L0.5/L2 mixed norm penalty.
"""
Benchmark of MultiTaskLasso
"""
import gc
from itertools import product
from time import time
import numpy as np
import pandas as pd
from sklearn.datasets import make_regression