I am using LASSO based on 4-fold cross-validation in a regression problem. I observed that with an increasing number of predictors, the computation time for the MATLAB LASSO function increases dramatically, such that it becomes unfeasible for me (since I need to run the LASSO several 1000 times). E.g, for 100 predictors, LASSO needs mor than 60 sec. The same example in Python takes only few seconds. What could be the reason for such a difference in computation speed? ---added later: I observed that it is not the number of predictors that affects LASSO computation time, but the degree of colinearity in the predictors. MATLAB algorithm 'cDescentCycle' takes almost all the computation time. MATLAB help suggests using ELASTIC NET (set alpha < 1) in case of highly correlated predictors. ELASTIC NET is a bit faster,but is still unfeasible slow. I have not done further tests with LASSO implemented in python. I still don't know what to do to increase speed of LASSO in the case of highly correlated predictors (reducing the number of Lambda values or increasing the RelTol parameter does help only very little, ~few sec).
