MATLAB implementation of the homotopy algorithm for solving the Lasso

Description

a MATLAB implementation of the homotopy algorithm for solving the Lasso with its variant presented in the ICML paper.

When the parameter eps equals zero, it is the exact homotopy algorithm.

When eps > 0, it uses the approximate homotopy variant (only works on linux 64bits computers).

Note that this implementation is designed to privilege numerical precision over speed.

For faster (but less numerically stable) implementation of the homotopy, see the  software package SPAMS: http://www.di.ens.fr/willow/SPAMS/

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