GroupLasso

Group Lasso package for Python.

Installation Guide

Using pip

The easiest way to install GroupLasso is using pip

pip install GroupLasso

Building from source

Run the following commands:

git clone https://github.com/AnchorBlues/GroupLasso.git
cd GroupLasso
python setup.py install

Getting started

Here is the GroupLassoRegressor model:

from grouplasso import GroupLassoRegressor

Create sample dataset:

import numpy as np
np.random.seed(0)
X = np.random.randn(10, 3)
# target variable is strongly correlated with 0th feature.
y = X[:, 0] + np.random.randn(10) * 0.1

Set group_ids, which specify group membership:

# 0th feature and 1st feature are the same group.
group_ids = np.array([0, 0, 1])

You can now train Group Lasso:

model = GroupLassoRegressor(group_ids=group_ids, random_state=42, verbose=False, alpha=1e-1)
model.fit(X, y)

Note that all the members of a particular group are either selected(coef_ != 0) or not selected(coef_ == 0).

model.coef_
# array([ 0.84795715, -0.01193528, -0.        ])