API Documentation

Estimators

GeneralizedLinearEstimator([datafit, ...])	Generic generalized linear estimator.
CoxEstimator([alpha, l1_ratio, method, tol, ...])	Elastic Cox estimator with Efron and Breslow estimate.
ElasticNet([alpha, l1_ratio, max_iter, ...])	Elastic net estimator.
GroupLasso(groups[, alpha, weights, ...])	GroupLasso estimator based on Celer solver and primal extrapolation.
Lasso([alpha, max_iter, max_epochs, p0, ...])	Lasso estimator based on Celer solver and primal extrapolation.
LinearSVC([C, max_iter, max_epochs, p0, ...])	LinearSVC estimator, with hinge loss.
SparseLogisticRegression([alpha, l1_ratio, ...])	Sparse Logistic regression estimator.
MCPRegression([alpha, gamma, weights, ...])	Linear regression with MCP penalty estimator.
MultiTaskLasso([alpha, copy_X, max_iter, ...])	MultiTaskLasso estimator.
WeightedLasso([alpha, weights, max_iter, ...])	WeightedLasso estimator based on Celer solver and primal extrapolation.

Penalties

IndicatorBox(alpha)	Box constraint penalty.
L0_5(alpha)	`ell_(0.5)` non-convex quasi-norm penalty.
L1(alpha[, positive])	`ell_1` penalty.
L1_plus_L2(alpha, l1_ratio[, positive])	`ell_1 + ell_2` penalty (aka ElasticNet penalty).
L2(alpha)	`ell_2` penalty.
L2_3(alpha)	`ell_(2/3)` quasi-norm non-convex penalty.
LogSumPenalty(alpha, eps)	Log sum penalty.
MCPenalty(alpha, gamma[, positive])	Minimax Concave Penalty (MCP), a non-convex sparse penalty.
PositiveConstraint()	Positivity constraint penalty.
WeightedL1(alpha, weights[, positive])	Weighted L1 penalty.
WeightedGroupL2(alpha, weights, grp_ptr, ...)	Weighted Group L2 penalty.
WeightedMCPenalty(alpha, gamma, weights[, ...])	Weighted Minimax Concave Penalty (MCP), a non-convex sparse penalty.
SCAD(alpha, gamma)	Smoothly Clipped Absolute Deviation.
BlockSCAD(alpha, gamma)	Block Smoothly Clipped Absolute Deviation.
SLOPE(alphas)	Sorted L-One Penalized Estimation (SLOPE) penalty.

Datafits

Cox([use_efron])	Cox datafit for survival analysis.
Gamma()	Gamma datafit.
Huber(delta)	Huber datafit.
Logistic()	Logistic datafit with labels in {-1, 1}.
LogisticGroup(grp_ptr, grp_indices)	Logistic datafit used with group penalties.
Poisson()	Poisson datafit.
Quadratic()	Quadratic datafit.
QuadraticGroup(grp_ptr, grp_indices)	Quadratic datafit used with group penalties.
QuadraticHessian()	Quadratic datafit where we pass the Hessian A directly.
QuadraticSVC()	A Quadratic SVC datafit used for classification tasks.
WeightedQuadratic(sample_weights)	Weighted Quadratic datafit to handle sample weights.

Solvers

AndersonCD([max_iter, max_epochs, p0, tol, ...])	Coordinate descent solver with working sets and Anderson acceleration.
FISTA([max_iter, tol, opt_strategy, verbose])	ISTA solver with Nesterov acceleration (FISTA).
GramCD([max_iter, use_acc, greedy_cd, tol, ...])	Coordinate descent solver keeping the gradients up-to-date with Gram updates.
GroupBCD([max_iter, max_epochs, p0, tol, ...])	Block coordinate descent solver for group problems.
GroupProxNewton([p0, max_iter, max_pn_iter, ...])	Group Prox Newton solver combined with working sets.
LBFGS([max_iter, tol, verbose])	A wrapper for scipy L-BFGS solver.
MultiTaskBCD([max_iter, max_epochs, p0, ...])	Block coordinate descent solver for multi-task problems.
ProxNewton([p0, max_iter, max_pn_iter, tol, ...])	Prox Newton solver combined with working sets.

Experimental

IterativeReweightedL1([datafit, penalty, ...])	Reweighted L1-norm estimator.
PDCD_WS([max_iter, max_epochs, dual_init, ...])	Primal-Dual Coordinate Descent solver with working sets.
Pinball(quantile_level)	Pinball datafit.
SqrtQuadratic()	Unnormalized square root quadratic datafit.
SqrtLasso([alpha, max_iter, max_pn_iter, ...])	Square root Lasso estimator based on Prox Newton solver.