Shotgun: Parallel Lasso and Sparse Logistic Regression

http://select.cs.cmu.edu/code/index.html

Shot-gun outperforms other published solvers on a range of large problems, proving to be one of the most scalable algorithms for L1.

Joseph K. Bradley, Aapo Kyrola, Danny Bickson, and Carlos Guestrin. "Parallel Coordinate Descent for L1-Regularized Loss Minimization." International Conference on Machine Learning (ICML 2011).