def __init__(self,
X=None,
Y=None,
feature_headers=None,
label_headers=None,
groups=None,
type='regressor',
cfg=False):
if X is not None:
self.X = X
if Y is not None:
self.Y = Y
self.type = type
self.cfg = cfg
self.mapping_dict = None
self.label_headers = label_headers
self.no_inputs = len(feature_headers)
if groups is None:
groups = [1 for i in range(self.no_inputs)]
else:
groups = groups
self.model = GroupLasso(groups=groups, supress_warning=True)
def single_gene_GLG(X, ptime, L, Dt, g, sigma, lamb, mask, queue, K, Ksum,
groups, group_reg):
A, y, K = convert_to_FISTA(X, ptime, L, Dt, g, mask, queue, K, Ksum)
nSamp, nFea = A.shape
NL = int(L / Dt)
#out = training(A,y,np.random.rand(A.shape[1]),0)
gl = GroupLasso(
groups=groups,
group_reg=group_reg,
l1_reg=lamb,
frobenius_lipschitz=True,
scale_reg="inverse_group_size",
subsampling_scheme=1,
supress_warning=True,
n_iter=10000,
tol=1e-3,
)
gl.fit(A, y.reshape(-1, 1))
return gl.coef_.reshape(-1)
w1 = generate_group_lasso_coefficients(group_sizes)
w2 = generate_group_lasso_coefficients(group_sizes)
w = np.hstack((w1, w2))
w *= np.random.random((len(w), 1)) > 0.4
w += np.random.randn(*w.shape) * coeff_noise_level
print("Generating targets")
y = X @ w
y += np.random.randn(*y.shape) * noise_level * y
y += intercept
gl = GroupLasso(
groups=groups,
n_iter=10,
tol=1e-8,
l1_reg=0.05,
group_reg=0.08,
frobenius_lipschitz=True,
subsampling_scheme=None,
fit_intercept=True,
)
print("Starting fit")
gl.LOG_LOSSES = True
gl.fit(X, y)
for i in range(w.shape[1]):
plt.figure()
plt.subplot(211)
plt.plot(w[:, i], ".", label="True weights")
plt.plot(gl.coef_[:, i], ".", label="Estimated weights")
plt.subplot(212)
def groupLasso_demo(signal_type, fig_start):
X,Y,W_actual,groups = generate_data(signal_type)
#Plotting the actual W
plt.figure(0+fig_start)
plt.plot(W_actual)
plt.title("Original (D = 4096, number groups = 64, active groups = 8)")
plt.savefig("W_actual_{}.png".format(signal_type) , dpi=300)
##### Applying Lasso Regression #####
# L1 norm is the sum of absolute values of coefficients
lasso_reg = linear_model.Lasso(alpha=0.5)
lasso_reg.fit(X, Y)
W_lasso_reg = lasso_reg.coef_
##### Debiasing step #####
ba = np.argwhere(W_lasso_reg != 0) #Finding where the coefficients are not zero
X_debiased = X[:, ba]
W_lasso_reg_debiased = np.linalg.lstsq(X_debiased[:,:,0],Y) #Re-estimate the chosen coefficients using least squares
W_lasso_reg_debiased_2 = np.zeros((4096))
W_lasso_reg_debiased_2[ba] = W_lasso_reg_debiased[0]
lasso_reg_mse = mean_squared_error(W_actual, W_lasso_reg_debiased_2)
plt.figure(1+fig_start)
plt.plot(W_lasso_reg_debiased_2)
plt.title('Standard L1 (debiased 1, regularization param(L1 = 0.5), MSE = {:.4f})'.format(lasso_reg_mse))
plt.savefig("W_lasso_reg_{}.png".format(signal_type), dpi=300)
##### Applying Group Lasso L2 regression #####
# L2 norm is the square root of sum of squares of coefficients
# PNLL(W) = NLL(W) + regularization_parameter * Σ(groups)L2-norm
group_lassoL2_reg = GroupLasso(
groups=groups,
group_reg=3,
l1_reg=1,
frobenius_lipschitz=True,
scale_reg="inverse_group_size",
subsampling_scheme=1,
supress_warning=True,
n_iter=1000,
tol=1e-3,
)
group_lassoL2_reg.fit(X, Y)
W_groupLassoL2_reg = group_lassoL2_reg.coef_
##### Debiasing step #####
ba = np.argwhere(W_groupLassoL2_reg != 0) #Finding where the coefficients are not zero
X_debiased = X[:, ba]
W_group_lassoL2_reg_debiased = np.linalg.lstsq(X_debiased[:,:,0],Y) #Re-estimate the chosen coefficients using least squares
W_group_lassoL2_reg_debiased_2 = np.zeros((4096))
W_group_lassoL2_reg_debiased_2[ba] = W_group_lassoL2_reg_debiased[0]
groupLassoL2_mse = mean_squared_error(W_actual, W_group_lassoL2_reg_debiased_2)
plt.figure(2+fig_start)
plt.plot(W_group_lassoL2_reg_debiased_2)
plt.title('Block-L2 (debiased 1, regularization param(L2 = 3, L1=1), MSE = {:.4f})'.format(groupLassoL2_mse))
plt.savefig("W_groupLassoL2_reg_{}.png".format(signal_type), dpi=300)
##### Applying Group Lasso Linf regression #####
# To use spams library, it is necessary to convert data to fortran normalized arrays
# visit http://spams-devel.gforge.inria.fr/ for the documentation of spams library
# Linf is the supremum of all the coeifficients
# PNLL(W) = NLL(W) + regularization_parameter * Σ(groups)Linf-norm
X_normalized = np.asfortranarray(X - np.tile(np.mean(X,0),(X.shape[0],1)),dtype=float)
X_normalized = spams.normalize(X_normalized)
Y_normalized = np.asfortranarray(Y - np.tile(np.mean(Y,0),(Y.shape[0],1)),dtype=float)
Y_normalized = spams.normalize(Y_normalized)
groups_modified = np.concatenate([[i] for i in groups]).reshape(-1, 1)
W_initial = np.zeros((X_normalized.shape[1],Y_normalized.shape[1]),dtype=float,order="F")
param = {'numThreads' : -1,'verbose' : True,
'lambda2' : 3, 'lambda1' : 1, 'max_it' : 500,
'L0' : 0.1, 'tol' : 1e-2, 'intercept' : False,
'pos' : False, 'loss' : 'square'}
param['regul'] = "group-lasso-linf"
param2=param.copy()
param['size_group'] = 64
param2['groups'] = groups_modified
(W_groupLassoLinf_reg, optim_info) = spams.fistaFlat(Y_normalized,X_normalized,W_initial,True,**param)
##### Debiasing step #####
ba = np.argwhere(W_groupLassoLinf_reg != 0) #Finding where the coefficients are not zero
X_debiased = X[:, ba[:,0]]
W_groupLassoLinf_reg_debiased = np.linalg.lstsq(X_debiased,Y) #Re-estimate the chosen coefficients using least squares
W_group_lassoLinf_reg_debiased_2 = np.zeros((4096))
W_group_lassoLinf_reg_debiased_2[ba] = W_groupLassoLinf_reg_debiased[0]
groupLassoLinf_mse = mean_squared_error(W_actual, W_group_lassoLinf_reg_debiased_2)
plt.figure(3+fig_start)
axes = plt.gca()
plt.plot(W_group_lassoLinf_reg_debiased_2)
plt.title('Block-Linf (debiased 1, regularization param(L2 = 3, L1=1), MSE = {:.4f})'.format(groupLassoLinf_mse))
plt.savefig("W_groupLassoLinf_reg_{}.png".format(signal_type), dpi=300)
plt.show()
def fit_group_lasso(
X,
knockoffs,
y,
groups,
use_pyglm=True,
y_dist=None,
group_lasso=True,
**kwargs,
):
""" Fits a group lasso model.
:param X: n x p design matrix
:param knockoffs: n x p knockoff matrix
:param groups: p length numpy array of groups
:param use_pyglm: If true, use the pyglmnet grouplasso
Else use the regular one
:param y_dist: Either "gaussian" or "binomial" (for logistic regression)
:param group_lasso: If False, do not use group regularization.
:param kwargs: kwargs for group-lasso GroupLasso class.
In particular includes reg_vals, a list of regularizations
(lambda values) which defaults to [(0.05, 0.05)]. In each
tuple of the list, the first value is the group regularization,
the second value is the individual regularization.
"""
warnings.filterwarnings("ignore")
# Parse some kwargs/defaults
if "max_iter" in kwargs:
max_iter = kwargs.pop("max_iter")
else:
max_iter = 100
if "tol" in kwargs:
tol = kwargs.pop("tol")
else:
tol = 1e-2
if "cv" in kwargs:
cv = kwargs.pop("cv")
else:
cv = 5
if "learning_rate" in kwargs:
learning_rate = kwargs.pop("learning_rate")
else:
learning_rate = 2
if y_dist is None:
y_dist = parse_y_dist(y)
# Bind data
n = X.shape[0]
p = X.shape[1]
features = np.concatenate([X, knockoffs], axis=1)
# By default, all variables are their own group
if groups is None:
groups = np.arange(1, p + 1, 1)
m = np.unique(groups).shape[0]
# If m == p, meaning each variable is their own group,
# just fit a regular lasso
if m == p or not group_lasso:
return fit_lasso(X, knockoffs, y, y_dist, **kwargs)
# Make sure variables and their knockoffs are in the same group
# This is necessary for antisymmetry
doubled_groups = np.concatenate([groups, groups], axis=0)
# Randomize coordinates to make sure everything is symmetric
inds, rev_inds = random_permutation_inds(2 * p)
features = features[:, inds]
doubled_groups = doubled_groups[inds]
# Standardize - important for pyglmnet performance,
# highly detrimental for group_lasso performance
if use_pyglm:
features = (features - features.mean()) / features.std()
if y_dist == "gaussian":
y = (y - y.mean()) / y.std()
# Get regularizations
if "reg_vals" in kwargs:
reg_vals = kwargs.pop("reg_vals")
else:
reg_vals = [(x, x) for x in DEFAULT_REG_VALS]
# Fit pyglm model using warm starts
if use_pyglm:
l1_regs = [x[0] for x in reg_vals]
gl = GLMCV(
distr=y_dist,
tol=tol,
group=doubled_groups,
alpha=1.0,
learning_rate=learning_rate,
max_iter=max_iter,
reg_lambda=l1_regs,
cv=cv,
solver="cdfast",
)
gl.fit(features, y)
# Pull score, rename
best_score = -1 * calc_mse(gl, features, y)
best_gl = gl
# Fit model
if not use_pyglm:
best_gl = None
best_score = -1 * np.inf
for group_reg, l1_reg in reg_vals:
# Fit logistic/gaussian group lasso
if not use_pyglm:
if y_dist.lower() == "gaussian":
gl = GroupLasso(
groups=doubled_groups,
tol=tol,
group_reg=group_reg,
l1_reg=l1_reg,
**kwargs,
)
elif y_dist.lower() == "binomial":
gl = LogisticGroupLasso(
groups=doubled_groups,
tol=tol,
group_reg=group_reg,
l1_reg=l1_reg,
**kwargs,
)
else:
raise ValueError(
f"y_dist must be one of gaussian, binomial, not {y_dist}"
)
gl.fit(features, y.reshape(n, 1))
score = -1 * calc_mse(gl, features, y.reshape(n, 1))
# Score, possibly select
if score > best_score:
best_score = score
best_gl = gl
warnings.resetwarnings()
return best_gl, inds, rev_inds
X_train, X_test, y_train, y_test = train_test_split(X,
y,
test_size=0.25,
random_state=10)
sgl = gpr.SGL(groups=groups,
l1_ratio=0.5,
alpha=1.0,
max_iter=1000,
tol=1e-3)
gl = GroupLasso(
groups=gl_groups,
group_reg=0.5,
l1_reg=0.5,
frobenius_lipschitz=True,
scale_reg="group_size",
n_iter=1000,
tol=1e-3,
supress_warning=True,
)
gpr_time = timeit("sgl.fit(X_train, y_train)", globals=globals(), number=3)
gl_time = timeit("gl.fit(X_train, y_train)", globals=globals(), number=3)
speedup.append(gpr_time / gl_time)
fig, ax = plt.subplots(1, 1, figsize=(8, 5))
_ = ax.plot(np.array(n_features) * 50, 1 / np.array(speedup))
_ = ax.set_xlabel(r"Number of features", fontsize=16)
_ = ax.set_ylabel(r"$t$(group-lasso) / $t$(groupyr)", fontsize=16)
# Use noisy y as true because that is what we would have access
# to in a real-life setting.
R2_best = r2_score(y, y_true)
###############################################################################
# Generate pipeline and train it
# ------------------------------
pipe = Pipeline(
memory=None,
steps=[
(
"variable_selection",
GroupLasso(
groups=groups,
group_reg=20,
l1_reg=0,
scale_reg="inverse_group_size",
subsampling_scheme=1,
supress_warning=True,
),
),
("regressor", Ridge(alpha=0.1)),
],
)
pipe.fit(X, y)
###############################################################################
# Extract results and compute performance metrics
# -----------------------------------------------
# Extract from pipeline
yhat = pipe.predict(X)
plt.plot(y, y_true, ".")
plt.xlabel("Noisy targets")
plt.ylabel("Noise-free targets")
# Use noisy y as true because that is what we would have access
# to in a real-life setting.
R2_best = r2_score(y, y_true)
###############################################################################
# Generate estimator and train it
# -------------------------------
gl = GroupLasso(
groups=groups,
group_reg=5,
l1_reg=0,
frobenius_lipschitz=True,
scale_reg="inverse_group_size",
subsampling_scheme=1,
supress_warning=True,
n_iter=1000,
tol=1e-3,
)
gl.fit(X, y)
###############################################################################
# Extract results and compute performance metrics
# -----------------------------------------------
# Extract info from estimator
yhat = gl.predict(X)
sparsity_mask = gl.sparsity_mask_
w_hat = gl.coef_
SNR = np.linalg.norm(np.dot(X, beta)) / np.linalg.norm(e)
print("SNR value: {}".format(SNR))
beta[0:nZeros] = 0 # First nZero features have no correlation to response
beta_bool = np.ndarray(shape=(p, 1), dtype=bool)
beta_bool[0:nZeros] = False
beta_bool[nZeros:] = True
Y = np.dot(X, beta) + e
Y = Y.reshape(-1, 1)
# l1_reg is the regularisation coeff. for coeffcient sparsiy pen.
# l2_reg is the regularisation coefficient(s) for the group sparsity penalty
gl = GroupLasso(groups=F_groups,
l1_reg=0,
group_reg=0.35,
supress_warning=True)
gl.fit(X, Y)
yhat = gl.predict(X)
beta_hat = gl.coef_
conf_m = confusion_matrix(beta_bool, gl.sparsity_mask_)
print("Number of variables: {}".format(p))
print("Number of zero coefficients: {}".format(nZeros))
print("Number of choosen variables: {}".format(gl.sparsity_mask_.sum()))
print(conf_m)
group_bool = np.ndarray(shape=(3, nGroups), dtype=int)
group_bool[0, :] = [0, 1, 2, 3, 4]
def __init__(self,r,groups_ids):
self.lasso = GroupLasso( groups=groups_ids, group_reg=r, l1_reg=r, n_iter = 1000,
scale_reg="None", supress_warning=True, tol=1e-04,
)
R2_best = r2_score(y, y_true)
###############################################################################
# Generate pipeline and train it
# ------------------------------
pipe = pipe = Pipeline(
memory=None,
steps=[
(
"variable_selection",
GroupLasso(
groups=groups,
group_reg=0.1,
l1_reg=0,
scale_reg=None,
supress_warning=True,
n_iter=100000,
frobenius_lipschitz=False,
),
),
("regressor", Ridge(alpha=1)),
],
)
pipe.fit(X, y)
###############################################################################
# Extract results and compute performance metrics
# -----------------------------------------------
y_true = X @ w + intercept
y = y_true + np.random.randn(*y_true.shape) * noise_std
###############################################################################
# Generate estimator and train it
# -------------------------------
num_regs = 10
regularisations = np.logspace(-0.5, 1.5, num_regs)
weights = np.empty((num_regs, w.shape[0],))
gl = GroupLasso(
groups=groups,
group_reg=5,
l1_reg=0,
frobenius_lipschitz=True,
scale_reg="inverse_group_size",
subsampling_scheme=1,
supress_warning=True,
n_iter=1000,
tol=1e-3,
warm_start=True, # Warm start to start each subsequent fit with previous weights
)
for i, group_reg in enumerate(regularisations[::-1]):
gl.group_reg = group_reg
gl.fit(X, y)
weights[-(i + 1)] = gl.sparsity_mask_.squeeze()
###############################################################################
# Visualise chosen covariate groups
# ---------------------------------