Python code to solve the Lasso problem using ADMM.
Serial and distributed version of ADMM Lasso with Open MPI.
Original code (written in Matlab and C++) can be found at http://www.stanford.edu/~boyd.
To run admm_lasso_MPI.py type in the terminal:
mpirun -np number_of_processes python lasso_admm_MPI.py -i /path/to/input_file.h5 -o /path/to/output_file.h5
To see a complete list of arguments type in the terminal:
python lasso_admm_MPI.py --help
The code to generate sparse matrices of normally distributed random numbers was taken from http://scipy-user.10969.n7.nabble.com/Random-sparse-matrices-td4788.html
The ouptut of test_lasso_admm.py should look like this:
