A list of public software projects I have designed or contributed to.

Written by Yuwen Gu


This R packages fits the penalized quantile regression via fast alternating direction method of multipliers algorithms.


This R package provides a fast coordinate descent algorithm for fitting many types of penalized regressions.


This R package provides multi-source sparse Tweedie modeling of insurance claim severity data with flexible regularization.

By Simon Fontaine, Yi Yang, Wei Qian, Yuwen Gu, and Bo Fan in R Package GitHub


This R package fits the penalized asymmetric least squares, i.e., the penalized expectile regression, and its generalizations.