Codes under the Statistical Optimization Project

SuiteLasso: a MATLAB suite for regression problems with generalized Lasso regularizers (GitHub) [last updated in April 2021 with all source codes available]. See the introduction on how to use it.

Square_Root_PMM: A MATLAB software for square-root regression problems (GitHub) [Last updated in January 2021]. Copyright (c) 2021 by Peipei Tang, Chengjing Wang, Defeng Sun, and Kim-Chuan Toh. This is a software package for solving the square-root regression problem: min{ |X \beta - b |_2+\lambda p(\beta) - q(\beta)}. For the details of the software, please check the following paper:

[Peipei Tang, Chengjing Wang, Defeng Sun, and Kim Chuan Toh, “A sparse semismooth Newton based proximal majorization-minimization algorithm for nonconvex square-root-loss regression problems”, Journal of Machine Learning Research 21(226):1–38, 2020.]

ConvexClustering: a MATLAB package for convex clustering [last updated in June 2021]. See the introduction on how to use it.