Sparse Regression Python Packages

factorlasso

Sparse multi-output factor-model estimation with sign constraints, prior-centered shrinkage, data-driven grouped penalties, and consistent factor covariance assembly

l0learn

Efficient Algorithms for L0 Regularized Learning

sparsereg

a collection of modern sparse (regularized) linear regression algorithms.

slise

Robust regression algorithm that can be used for explaining black box models (Python implementation)

pytuq

Python Toolkit for Uncertainty Quantification

sparseregression

The Python Implementation of Sparse Regression.