The lasso is an interpretable machine learning model, based on solving a optimization problem with a convex loss function (which encourages good predictions on the train set) and an L1 penalty (for shrinkage and sparsity). Shrinkage is important in order to get a regularized model that does not overfit (good predictions on test data), and sparsity is important for interpretability (some weights/coefficients of the linear model are exactly zero, so are not used for prediction).
Strictly speaking, the “Lasso” refers to the L1-regularized linear model in which the convex loss function is the square loss. This loss is useful in the standard regression setting, where training data outputs are real-valued, and we want to learn a real-valued prediction function.
In my research I have proposed similar L1-regularized models for other loss functions which are useful in the context of regression with censored outputs (see wikipedia for general info about censoring). Like the standard regression problem, the goal is to learn a real-valued prediction function. However, the outputs in the train set are not necessarily real-valued; they can be left, right, or interval-censored. In my research these censored outputs naturally show up in the context of learning a penalty function in supervised changepoint detection (see my useR2017 tutorial for details). In this context we need to use a loss function which is adapted to the structure of the censored outputs. For example at ICML’13 we proposed a margin-based discriminative convex loss function that exploits the structure of the censored outputs (implemented in the IntervalRegressionCV function of my CRAN package penaltyLearning). I have also been mentoring some Google Summer of Code students on the iregnet R package, which implements a generative loss function based on the assumption that the censored observations follow a certain distribution (Normal, Logistic, etc).
However most implementations are limited to relatively small data sets that can easily fit in memory. For many problems this is not an issue; penalty learning for optimal changepoint detection is one such example. In other contexts this computational bottleneck prevents multivariate predictive models such as the Lasso from being used; one example is genome-wide association studies (GWAS), which are typically tackled using univariate analyses (partially because the data are so big and existing Lasso solvers are just too slow and memory intensive). To address this issue, the recently described biglasso package provides an on-disk implementation of a fast coordinate descent algorithm for solving the Lasso problem. Figures 2 and 3 of the paper shows that it is actually faster than the glmnet package, which has been my go-to Lasso solver for several years. More importantly, because it stores the data on disk (rather than in memory), it can be used on huge data analysis problems which do not fit in memory such as GWAS (with either real or binary responses/outputs). For a 31 GB feature matrix (2,898 rows x 1,339,511 columns), the required computation time was either 94 minutes (square loss) or 146 minutes (logistic loss). Not bad for such a huge data set!
Constructive criticism: I would have liked to see some comparison in terms of prediction accuracy, between the usual univariate approach and the L1 regularized multivariate Lasso approach. Future work is not mentioned in their paper but I would suggest implementing an L1 fusion penalty, which is implemented in genlasso for small data.