Elastic net, LASSO, and LARS in Python

I’m currently looking for implementations of the LASSO and Elastic Net, otherwise known as L1 and L1/L2 regularised linear regression respectively, in Python. The options seem to be scikit.learn and glmnet-python. The former offers coordinate ascent or the LARS algorithm coded in pure Python (with Numpy obviously), whereas the latter just wraps Jerome Friedman’s Fortran code from the R glmnet package.

Timing comparison

Runtime comparison between LASSO/Elastic net implementations from scikit.learn and glmnet-python. x-axis: number of features P. y-axis: time in seconds. Synthetic data with N=400, P/10 non-zero coefficients sampled from N(0,9), and 0.01 variance Gaussian noise.

As you might expect, the Fortran code is significantly faster in general, although for large P the LARS scikit.learn implementation is competitive with glmnet, presumably because the Python overhead becomes less noticeable. Unfortunately as far as I can see scikit.learn does not include a LARS implementation for the elastic net.


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