L1 constrained Regression in C

Question

I need Lasso/L1 constrained Regression Library in C. AFAIK, NAG does not support it. R has a package to do it but I need to do it in C. Any idea?

Answer 1

You could embed R in your application.

Answer 2

Coding l1 stuff yourself should not be too bad. Both ftp://ftp.math.ucla.edu/pub/camreport/cam08-37.pdf and ftp://ftp.math.ucla.edu/pub/camreport/cam08-29.pdf are easy to implement.

If you can use C++ this library might already have what you want: http://www.di.ens.fr/willow/SPAMS/index.html