[SciPy-User] [ANN] scikit.statsmodels 0.2.0 release

josef.pktd@gmai... josef.pktd@gmai...
Fri Feb 19 09:11:11 CST 2010


On Fri, Feb 19, 2010 at 9:34 AM, Alan G Isaac <aisaac@american.edu> wrote:
> On 2/18/2010 6:43 PM, David Warde-Farley wrote:
>> There's quite a bit of code out there for doing L1 chicanery if
>> you're willing to acquiesce to the GPL, also notably this code:http://www.stanford.edu/~boyd/l1_logreg/
>
> Note that the authors include contact info at the bottom
> of that page, if you wish to explore whether they might
> consider releasing the code under a BSD license.

Since the reference is using the interior point algorithm: there is a
generic linear programming function with interior point algorithm
available in gauss by Thierry Roncalli licensed under MIT which might
be useful as reference implementation. He uses it for LAD estimation
and in portfolio allocation (if I remember correctly). I'm not sure
whether there is an explanation in English.

Josef

>
> Alan Isaac
>
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