rohitchauhan5/SR3: A Unified Framework for Sparse Relaxed Regularized Regression

The key idea is to solve a relaxation of the regularized problem, which has three advantages over the state-of-the-art: (1) solutions of the relaxed problem are superior with respect to errors, false positives, and conditioning, (2) relaxation allows extremely fast algorithms for both convex and nonconvex formulations, and (3) the methods apply to composite regularizers such as total variation (TV) and its nonconvex variants.

install.packages("remotes")
remotes::install_github("rohitchauhan5/SR3")