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vene / pyowl

Ordered Weighted L1 regularization for classification and regression in Python
BSD 3-Clause "New" or "Revised" License
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classification machine-learning regression regularization sparsity

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pyowl: Ordered Weighted L1 Regularization in Python

OWL vs Lasso example

The OWL norm generalizes L1, L_inf and OSCAR. In particular, OSCAR selects coefficients in groups with equal values, therefore handling highly correlated features in a robust way.

Also known as Sorted L1 norm or SLOPE.

This implementation manages to be very short thanks to the awesome scientific python ecosystem.