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LASSO-Regression

LASSO Regularization in C++.

This repository contains a source code of LASSO () regularization for simple polynomial regression implemented from scratch in C++17.

The solution was tested on the simple task of the sine function approximation by polynomials, but it could work for any regression tasks (i hope it does).

In a nutshell, LASSO regularization iteratively updates regression weights using coordinate descent algorithm taking into account the penalty for absolute values of weights. So, it minimizes the above cost function:

How to use

Optimized regression weights can be obtained such way:

#include "DataSet.h"
#include "LassoRegression.h"

int main() {
    DataSet dataSet;
    LassoRegression *lasso = new LassoRegression(dataSet.sample, dataSet.target);

    double tolerance = 0.001, alpha = 0.01;
    double *weights = lasso->cyclicalCoordinateDescent(tolerance, alpha);

}

For your custom regression tasks you only need to change the implementation of DataSet class that encapsulates a training set.

Some useful references

  1. Main paper about LASSO: Tibshirani R. Regression shrinkage and selection via the lasso //Journal of the Royal Statistical Society. Series B (Methodological). – 1996. – С. 267-288.
  2. Introductory post about "Why do we need LASSO?": https://www.analyticsvidhya.com/blog/2016/01/complete-tutorial-ridge-lasso-regression-python/
  3. All math about: "How to use coordinate descent algorithm for LASSO" is well explained: https://ru.coursera.org/lecture/ml-regression/deriving-the-lasso-coordinate-descent-update-6OLyn.