This code is no longer maintained. The codebase has been moved to https://github.com/scikit-learn-contrib/skglm. This repository only serves to reproduce the results of the AISTATS 2021 paper "Anderson acceleration of coordinate descent" by Quentin Bertrand and Mathurin Massias.
It has a single parameter (alpha) so it's easier than MCP (which has gamma in addition)
It needs 1 / ||X_j|| so we may need to tweak the existing code (i.e. in penalty.objective, to avoid recomputing theses values at every call)