This package is designed to provide intercompatiblity between the SPAMS (SPArse Modeling Software) package and the Eigen3 Linear Algebra library.
The SPAMS package, maintained by Julien Mairal, provides a wide array of tools for solving sparse estimation problems. Although SPAMS is written in C++, it is designed to be used through one of three available wrappers -- MATLAB, R or Python. Using SPAMS through any of these three wrappers is a reasonably straight-forward process as each wrapper is well-documented and reasonably intuitive. However using the native C++ code base is much more difficult.
The SPAMS package defines its own linear algebra objects, such as Matrices, Vectors and their Sparse equivalents, which are used by every algorithm defined in the SPAMS package. Thus one cannot use the functions defined in SPAMS with other Linear Algebra libraries such as Eigen3, Armadillo, GTML etc.
You will need a copy of the SPAMS source-code. There is currently no way to download just the C++ source code, but it is included with any of the source-wrapper packages. Any 'precompilied' wrapper packages will not contain the C++ source code.
In order to use the '.pro' file bundled with the package the SPAMS-Eigen Glue package should be in the same directory as the
This package was developed during the construction of FOS, the Fast and Optimal Selection algorithm for high-dimensional linear regression as part of the HDIM package. The original implementation of FOS used the function FistaFlat, as provided by the SPAMS package.
SPAMS-Eigen3 Glue is licensed under the GPL version 3.
- Benjamin J Phillips