Resources

GLMs

1. Generalised Linear Models

Sparsity book

1. Hastie, Tibshirani, Wright. Statistical Learning with Sparsity: The Lasso and Generalizations, 2015

Coordinate descent

1. Zou, Hastie. Regularization and Variable Selection via the Elastic Net, 2004

2. S. Wright. The Revival of Coordinate Descent Methods

Coordinate descent applied to GLMs

1. Gordon, Tibshirani. Coordinate descent

2. Wu, Lange. Coordinate Descent Algorithms for LASSO Penalized Regression

3. Friedman et. al. Pathwise coordinate optimization, 2007

4. Scheinberg, Tang. Practical Inexact Proximal Quasi-Newton Method with Global Complexity Analysis, 2015

GAMs

1. GAM: The Predictive Modeling Silver Bullet

2. Fitting a Simple Additive Model in Python

Group Lasso

1. Ivanoff et. al. Adaptive Lasso and group-Lasso for functional Poisson regression

Misc

1. Candès, Wakin, Boyd. Enhancing Sparsity by Reweighted l1 Minimization