Which algortihm is used to solve lasso()?

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Clemens Klöck 2021-7-2

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评论： Clemens Klöck 2021-7-5

Hi,

my question is quite general. In matlab, the lasso function can be used to solve regression problems. Searching in help, I could not find a brief description of the algorithm or a reference which algorithm is applied.

I would be glad if some could give me a hint.

Kind Regards,

Clemens

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Max Heiken 2021-7-3

在 MATLAB Online 中打开

doc lasso

led me to this page of the documentation, which has an "Algorithms" section. A description and reference is given there. Is this what you are looking for?

Clemens Klöck 2021-7-5

Hi Max,

I have also read the algorithm description, but for me it was not clear if this lasso solver always uses ADMM algorithm? Because in the description is written for large arrays, the problem will be solved by ADMM. But what about small arrays?

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