High-Dimensional Computing

9.1 Coordinate Descent for Lasso

python
Run Inline
import numpy as np
def soft_threshold(x, lam):
    return np.sign(x) * np.maximum(np.abs(x) - lam, 0)
def coordinate_descent_lasso(X, y, lam, max_iter=1000):
    n, p = X.shape
    beta = np.zeros(p)
    for _ in range(max_iter):
        for j in range(p):
            r = y - X @ beta + X[:, j] * beta[j]
            z = X[:, j] @ r / n
            beta[j] = soft_threshold(z, lam)
    return beta