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Cyanure is an open-source C++ software package with a Python interface. Thegoal of Cyanure is to provide state-of-the-art solvers for learning linearmodels, based on stochastic variance-reduced stochastic optimization withacceleration mechanisms. Cyanure can handle a large variety of loss functions(logistic, square, squared hinge, multinomial logistic) and regularizationfunctions (l_2, l_1, elastic-net, fused Lasso, multi-task group Lasso). Itprovides a simple Python API, which is very close to that of scikit-learn,which should be extended to other languages such as R or Matlab in a nearfuture.

Cyanure: An Open-Source Toolbox for Empirical Risk Minimization for Python, C++, and soon more