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A Fast and Scalable Pathwise-Solver for Group Lasso and Elastic Net Penalized Regression via Block-Coordinate Descent

A Fast and Scalable Pathwise-Solver for Group Lasso and Elastic Net Penalized Regression via Block-Coordinate Descent

We develop fast and scalable algorithms based on block-coordinate descent to solve the group lasso and the group elastic net for generalized linear models along a regularization path. Special attention is given when the loss is the usual least squares loss (Gaussian loss). We show that each block-coordinate update can …