System requirements

Any system supports C and MPI. This instruction is for Ubuntu.

Package installation

A C compiler, MPI, and GSL are needed.

Install the GCC compiler

Install an MPI implementation, either OpenMPI or MPICH.

• OpenMPI

• MPICH

Install GSL

Our code uses the GNU Scientific Library (GSL) for linear operations. This package is easy to install, well documented, and has a number of convenient data structures and functions for manipulating vectors and matrices, including a high-level BLAS interface. See GSL official website for instructions.

Data generator

Here we provide a small datasets with Dimension 256*512. Specifically, Folder i coresponds to the dataset which has been partitioned into i blocks by columns. We also provide the Matlab source code for generating the synthetic data.

• Download

C codes for LASSO

• P-FISTA: parallel fast iterative soft-thresholding algorithm

• PD-ADMM: parallel dual alternating direction method of multipliers

• GRock: parallel greedy coordinate descent method

Sparse logistic regression

coming soon…

Sparse SVM

coming soon…

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