A decomposition method for lasso problems with zero-sum constraint

Active-Set Zero-Sum-Lasso (AS-ZSL) is a solver for the following lasso problem with zero-sum constraint:

with given matrix A, vector y and non-negative scalar λ.

AS-ZSL combines a tailored active-set technique, to identify the zero variables in the optimal solution, with a 2-coordinate descent scheme.

This software is written in C++ and can be called from Matlab using a MEX file.

Reference paper

A. Cristofari (2024). A decomposition method for lasso problems with zero-sum constraint. European Journal of Operational Research 306(1), 358–369.

Author's note: due to a mistake during the publication process, problem (1) is erroneously referred to as (A.3) throughout the paper (an arXiv version is available which might help).

Author

Andrea Cristofari (e-mail: [email protected])

Licensing

AS-ZSL is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. AS-ZSL is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with AS-ZSL. If not, see http://www.gnu.org/licenses/.

Copyright 2022-2024 Andrea Cristofari.

How to use AS-ZSL in Matlab

1. In Matlab, run make.m to build the MEX file.

2. See the file usage.txt to know how to call AS-ZSL from Matlab, change algorithm parameters and get output values.

3. See the file main.m for an example. To run the example, just call main.m in Matlab.