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yngvem / group-lasso

Group Lasso implementation following the scikit-learn API
MIT License
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Positive group lasso ? #30

Open homerours opened 3 years ago

homerours commented 3 years ago

Hi, thank you for this nice repo :) Is there any way to use it to do positive group lasso, that is minimizing over vector with non-negative coefficients ? In scikit-learn, there is a positive=True parameter that handles this. Is there such possibility here, or is there an easy way to solve this ? Thank you!

yngvem commented 3 years ago

That would be a very nice addition. However, while non-negativity constraints are very straightforward for LASSO, it is not straightforward to implement non negative group lasso.

It seems like we at least would need a different optimisation algorithm than FISTA, such as ADMM. Unfortunately, that would be a substantial effort to implement and test, so I don't think I have the time to implement that.