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ENH - Add Pinball datafit #134

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Dec 9, 2022
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413ef54
remove sqrt n_samples
Badr-MOUFAD Nov 30, 2022
2ef5eb7
update unittest
Badr-MOUFAD Nov 30, 2022
5c0bedc
info comment statsmodels
Badr-MOUFAD Dec 1, 2022
ca6ece7
add prox subdiff to sqrt df
Badr-MOUFAD Dec 1, 2022
a6303e5
implement ``PDCD_WS``
Badr-MOUFAD Dec 1, 2022
e8fcee3
r sqrt_n from CB
Badr-MOUFAD Dec 1, 2022
339e98f
Merge branch 'r-sqrt-n' of https://github.com/Badr-MOUFAD/skglm into …
Badr-MOUFAD Dec 1, 2022
19a0ea9
bug w and subdiff
Badr-MOUFAD Dec 1, 2022
e01451d
unittest sqrt
Badr-MOUFAD Dec 1, 2022
dd36b88
add docs
Badr-MOUFAD Dec 1, 2022
523419b
fix docs SqrtQuadratic
Badr-MOUFAD Dec 1, 2022
71de179
Merge branch 'main' of https://github.com/scikit-learn-contrib/skglm …
Badr-MOUFAD Dec 2, 2022
63a547b
subdiff --> fixed_point
Badr-MOUFAD Dec 4, 2022
f78d17d
efficient prox conjugate && fix tests
Badr-MOUFAD Dec 5, 2022
d0ae3a4
remove go
Badr-MOUFAD Dec 5, 2022
ad36485
MM remarks
Badr-MOUFAD Dec 5, 2022
f60bd59
fix test && clean ups
Badr-MOUFAD Dec 5, 2022
5a5f1ba
MM round 2 remarks
Badr-MOUFAD Dec 5, 2022
4f27c56
CI Trigger
Badr-MOUFAD Dec 5, 2022
fe45faa
implement pinball
Badr-MOUFAD Dec 6, 2022
3ce886f
unittest
Badr-MOUFAD Dec 6, 2022
6928502
fix pinball value && ST step
Badr-MOUFAD Dec 6, 2022
1271288
more unittest
Badr-MOUFAD Dec 6, 2022
bd1984a
fix bug prox pinball
Badr-MOUFAD Dec 6, 2022
36100c7
Merge branch 'main' of https://github.com/scikit-learn-contrib/skglm …
Badr-MOUFAD Dec 8, 2022
1a03c60
MM remarks
Badr-MOUFAD Dec 8, 2022
4b3ea45
Update skglm/experimental/quantile_regression.py
mathurinm Dec 8, 2022
9cf2216
pinball expression
Badr-MOUFAD Dec 8, 2022
626b71d
Merge branch 'pinball-df' of https://github.com/Badr-MOUFAD/skglm int…
Badr-MOUFAD Dec 8, 2022
8e93720
sqrt --> pinball
Badr-MOUFAD Dec 8, 2022
0a247f0
quantile --> quantile_level
Badr-MOUFAD Dec 9, 2022
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…into pinball-df
  • Loading branch information
Badr-MOUFAD committed Dec 8, 2022
commit 36100c7b1bf406bc4c50cbdf8d85ff601d0e4755
30 changes: 9 additions & 21 deletions skglm/experimental/pdcd_ws.py
Original file line number Diff line number Diff line change
Expand Up @@ -67,7 +67,7 @@ class PDCD_WS:

.. [2] Bertrand, Q. and Klopfenstein, Q. and Bannier, P.-A. and Gidel, G.
and Massias, M.
"Beyond L1: Faster and Better Sparse Models with skglm", 2022
"Beyond L1: Faster and Better Sparse Models with skglm", NeurIPS, 2022
https://arxiv.org/abs/2204.07826
"""

Expand Down Expand Up @@ -112,17 +112,11 @@ def solve(self, X, y, datafit_, penalty_, w_init=None, Xw_init=None):

for iteration in range(self.max_iter):

# check convergence
opts_primal = _scores_primal(
X, w, z, penalty, primal_steps, all_features)
# check convergence using fixed-point criteria on both dual and primal
opts_primal = _scores_primal(X, w, z, penalty, primal_steps, all_features)
opt_dual = _score_dual(y, z, Xw, datafit, dual_step)

opt_dual = _score_dual(
y, z, Xw, datafit, dual_step)

stop_crit = max(
max(opts_primal),
opt_dual
)
stop_crit = max(max(opts_primal), opt_dual)

if self.verbose:
current_p_obj = datafit.value(y, w, Xw) + penalty.value(w)
Expand Down Expand Up @@ -185,18 +179,12 @@ def _solve_subproblem(y, X, w, Xw, z, z_bar, datafit, penalty,
dual_step, y)
z += (z_bar - z) / n_features

# check convergence
# check convergence using fixed-point criteria on both dual and primal
if epoch % 10 == 0:
opts_primal_in = _scores_primal(
X, w, z, penalty, primal_steps, ws)

opt_dual_in = _score_dual(
y, z, Xw, datafit, dual_step)
opts_primal_in = _scores_primal(X, w, z, penalty, primal_steps, ws)
opt_dual_in = _score_dual(y, z, Xw, datafit, dual_step)

stop_crit_in = max(
max(opts_primal_in),
opt_dual_in
)
stop_crit_in = max(max(opts_primal_in), opt_dual_in)

if stop_crit_in <= tol_in:
break
Expand Down
4 changes: 2 additions & 2 deletions skglm/experimental/sqrt_lasso.py
Original file line number Diff line number Diff line change
Expand Up @@ -55,11 +55,11 @@ def raw_hessian(self, y, Xw):
return np.full(n_samples, fill_value)

def prox(self, w, step, y):
"""Prox of ||y - . || with step."""
"""Prox of ``step * ||y - . ||``."""
return y - BST(y - w, step)

def prox_conjugate(self, z, step, y):
"""Prox of ||y - . ||^* with step `step`."""
"""Prox of ``step * ||y - . ||^*``."""
return proj_L2ball(z - step * y)

def subdiff_distance(self, Xw, z, y):
Expand Down
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