def test_SmallLogReg():
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(0.0)
blitzl1.set_verbose(False)
A = np.arange(20).reshape(5, 4)
b = np.array([1, -1, -1, 1, 1])
A = sparse.csc_matrix(A)
prob = blitzl1.LogRegProblem(A, b)
sol = prob.solve(2)
if not approx_equal(sol.objective_value, 3.312655451335882):
print "test SmallLogReg obj failed"
if not approx_equal(sol.x[0], 0.0520996109147):
print "test SmallLogReg x[0] failed"
python_obj = sol.evaluate_loss(A, b) + 2 * np.linalg.norm(sol.x, ord=1)
if not approx_equal(sol.objective_value, python_obj):
print "test SmallLogReg python_obj failed"
blitzl1.set_use_intercept(True)
blitzl1.set_tolerance(0.0001)
sol = prob.solve(1.5)
blitzl1.set_tolerance(0.01)
sol2 = prob.solve(1.5, initial_x=sol.x, initial_intercept=sol.intercept)
if sol2._num_iterations != 1:
print "test SmallLogReg initial conditions failed"
def test_SimpleLasso():
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(0.0)
blitzl1.set_verbose(False)
A = np.eye(4)
A[3,3] = 2.0
A[2,2] = 2.0
b = np.array([5., -2., 2., -6.])
A = sparse.csc_matrix(A)
prob = blitzl1.LassoProblem(A, b)
sol = prob.solve(1)
if not approx_equal(sol.x[0], 4.0) or not approx_equal(sol.x[3], -2.75):
print "test SimpleLasso basic failed"
blitzl1.set_use_intercept(True)
sol = prob.solve(1)
if not approx_equal(sol.intercept, -0.25):
print "test SimpleLasso intercept failed"
if not approx_equal(sol.objective_value, 9.75):
print "test SimpleLasso obj failed"
python_obj = sol.evaluate_loss(A, b) + np.linalg.norm(sol.x, ord=1)
if not approx_equal(sol.objective_value, python_obj):
print "test SimpleLasso python_obj failed"
def test_SimpleLasso():
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(0.0)
blitzl1.set_verbose(False)
A = np.eye(4)
A[3, 3] = 2.0
A[2, 2] = 2.0
b = np.array([5., -2., 2., -6.])
A = sparse.csc_matrix(A)
prob = blitzl1.LassoProblem(A, b)
sol = prob.solve(1)
if not approx_equal(sol.x[0], 4.0) or not approx_equal(sol.x[3], -2.75):
print "test SimpleLasso basic failed"
blitzl1.set_use_intercept(True)
sol = prob.solve(1)
if not approx_equal(sol.intercept, -0.25):
print "test SimpleLasso intercept failed"
if not approx_equal(sol.objective_value, 9.75):
print "test SimpleLasso obj failed"
python_obj = sol.evaluate_loss(A, b) + np.linalg.norm(sol.x, ord=1)
if not approx_equal(sol.objective_value, python_obj):
print "test SimpleLasso python_obj failed"
def set_objective(self, X, y, lmbd):
self.X, self.y, self.lmbd = X, y, lmbd
# n_samples = self.X.shape[0]
# self.lmbd /= n_samples
blitzl1.set_use_intercept(False)
self.problem = blitzl1.LogRegProblem(self.X, self.y)
def test_SmallLasso():
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(0.0)
blitzl1.set_verbose(False)
A = np.arange(20).reshape(5, 4)
b = np.arange(5)
A = sparse.csc_matrix(A)
prob = blitzl1.LassoProblem(A, b)
sol = prob.solve(2)
if not approx_equal(sol.objective_value, 0.4875):
print "test SmallLasso obj failed"
save_path = "/tmp/blitzl1_save_test"
sol.save(save_path)
sol2 = blitzl1.load_solution(save_path)
if not np.all(sol.x == sol2.x):
print "test SmallLasso save_x failed"
if sol.objective_value != sol2.objective_value:
print "test SmallLasso save_obj failed"
os.remove(save_path)
blitzl1.set_tolerance(0.1)
log_path = "/tmp/blitzl1_log_test/"
sol = prob.solve(5.0, log_directory=log_path)
log_point = 0
while True:
time_file = "%s/time.%d" % (log_path, log_point)
obj_file = "%s/obj.%d" % (log_path, log_point)
try:
time = float(open(time_file).read())
obj = float(open(obj_file).read())
except:
break
log_point += 1
if not approx_equal(obj, sol.objective_value):
print "test SmallLasso log_obj failed"
if time <= 0.0:
print "test SmallLasso log_time failed"
os.system("rm -r %s" % log_path)
def test_SmallLasso():
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(0.0)
blitzl1.set_verbose(False)
A = np.arange(20).reshape(5, 4)
b = np.arange(5)
A = sparse.csc_matrix(A)
prob = blitzl1.LassoProblem(A, b)
sol = prob.solve(2)
if not approx_equal(sol.objective_value, 0.4875):
print "test SmallLasso obj failed"
save_path = "/tmp/blitzl1_save_test"
sol.save(save_path)
sol2 = blitzl1.load_solution(save_path)
if not np.all(sol.x == sol2.x):
print "test SmallLasso save_x failed"
if sol.objective_value != sol2.objective_value:
print "test SmallLasso save_obj failed"
os.remove(save_path)
blitzl1.set_tolerance(0.1)
log_path = "/tmp/blitzl1_log_test/"
sol = prob.solve(5.0, log_directory=log_path)
log_point = 0
while True:
time_file = "%s/time.%d" % (log_path, log_point)
obj_file = "%s/obj.%d" % (log_path, log_point)
try:
time = float(open(time_file).read())
obj = float(open(obj_file).read())
except:
break
log_point += 1
if not approx_equal(obj, sol.objective_value):
print "test SmallLasso log_obj failed"
if time <= 0.0:
print "test SmallLasso log_time failed"
os.system("rm -r %s" % log_path)
def test_SolverOptions():
blitzl1.set_tolerance(0.027)
if blitzl1.get_tolerance() != 0.027:
print "test SolverOptions tolerance failed"
blitzl1.set_max_time(557.0)
if blitzl1.get_max_time() != 557.0:
print "test SolverOptions max_time failed"
blitzl1.set_use_intercept(True)
if blitzl1.get_use_intercept() != True:
print "test SolverOptions use_intercept (True) failed"
blitzl1.set_use_intercept(False)
if blitzl1.get_use_intercept() != False:
print "test SolverOptions use_intercept (False) failed"
blitzl1.set_verbose(True)
if blitzl1.get_verbose() != True:
print "test SolverOptions verbose (True) failed"
blitzl1.set_verbose(False)
if blitzl1.get_verbose() != False:
print "test SolverOptions verbose (False) failed"
def linear_cv(dataset_name, tol=1e-3, compute_jac=True, model_name="lasso"):
X, y = load_libsvm(dataset_name)
X = csc_matrix(X)
n_samples, n_features = X.shape
p_alpha = p_alphas[dataset_name, model_name]
max_iter = max_iters[dataset_name]
if model_name == "lasso":
model = Lasso(X, y, 0, max_iter=max_iter, tol=tol)
elif model_name == "logreg":
model = SparseLogreg(X, y, 0, max_iter=max_iter, tol=tol)
alpha_max = np.exp(model.compute_alpha_max())
alpha = p_alpha * alpha_max
if model_name == "lasso":
clf = Lasso_cel(alpha=alpha,
fit_intercept=False,
warm_start=True,
tol=tol * norm(y)**2 / 2,
max_iter=10000)
clf.fit(X, y)
beta_star = clf.coef_
mask = beta_star != 0
dense = beta_star[mask]
elif model_name == "logreg":
# clf = LogisticRegression(
# penalty='l1', C=(1 / (alpha * n_samples)),
# fit_intercept=False,
# warm_start=True, max_iter=10000,
# tol=tol, verbose=True).fit(X, y)
# clf = LogisticRegression(
# penalty='l1', C=(1 / (alpha * n_samples)),
# fit_intercept=False,
# warm_start=True, max_iter=10000,
# tol=tol, verbose=True,
# solver='liblinear').fit(X, y)
# beta_star = clf.coef_[0]
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(1e-32)
blitzl1.set_verbose(True)
# blitzl1.set_min_time(60)
prob = blitzl1.LogRegProblem(X, y)
# # lammax = prob.compute_lambda_max()
clf = prob.solve(alpha * n_samples)
beta_star = clf.x
mask = beta_star != 0
mask = np.array(mask)
dense = beta_star[mask]
# if model == "lasso":
v = -n_samples * alpha * np.sign(beta_star[mask])
mat_to_inv = model.get_hessian(mask, dense, np.log(alpha))
# mat_to_inv = X[:, mask].T @ X[:, mask]
jac_temp = cg(mat_to_inv, v, tol=1e-10)
jac_star = np.zeros(n_features)
jac_star[mask] = jac_temp[0]
# elif model == "logreg":
# v = - n_samples * alpha * np.sign(beta_star[mask])
log_alpha = np.log(alpha)
list_beta, list_jac = get_beta_jac_iterdiff(X,
y,
log_alpha,
model,
save_iterates=True,
tol=tol,
max_iter=max_iter,
compute_jac=compute_jac)
diff_beta = norm(list_beta - beta_star, axis=1)
diff_jac = norm(list_jac - jac_star, axis=1)
supp_star = beta_star != 0
n_iter = list_beta.shape[0]
for i in np.arange(n_iter)[::-1]:
supp = list_beta[i, :] != 0
if not np.all(supp == supp_star):
supp_id = i + 1
break
supp_id = 0
return dataset_name, p_alpha, diff_beta, diff_jac, n_iter, supp_id
def set_objective(self, X, y, lmbd):
self.X, self.y, self.lmbd = X, y, lmbd
blitzl1.set_use_intercept(False)
self.problem = blitzl1.LassoProblem(self.X, self.y)
def set_objective(self, X, y, lmbd):
self.X, self.y, self.lmbd = X, y, lmbd
blitzl1.set_use_intercept(False)
blitzl1.set_tolerance(0)
self.problem = blitzl1.LogRegProblem(self.X, self.y)
indptr[start:(end + 1)] = tmp_indptr + tot
names[start:end] = [(j, k) for k in range(j, p)]
tot += Xint_sub.getnnz()
start = end
end += Xint_sub.shape[1] - 1
indices = np.hstack(indices)
indices = indices.astype('int64')
Xint = sp.csc_matrix((np.ones(tot, dtype=np.int8), indices, indptr),
dtype=np.int8,
shape=(n, p * (p + 1) / 2))
# Run blitz on SNPs data with interactions
blitzl1.set_tolerance(args.tol)
blitzl1.set_verbose(False)
blitzl1.set_use_intercept(args.useBias)
prob = blitzl1.LassoProblem(Xint, y)
# Compute lambda_max
t0_lammax = time.time()
lammax = prob.compute_lambda_max()
t1_lammax = time.time()
csv_writer_preproc.writerow([t1_lammax - t0_lammax])
file_preproc.close()
# Define the values of lambda for which the solution will be computed
lam = [
lammax * pow(10,
np.log10(args.lambdaMinRatio) * t / args.nlambda)
for t in range(1, args.nlambda + 1)
]
tol=tol,
verbose=True,
strategy=3,
min_ws_size=min_ws_size,
screening=0)
dur_a5g = time.time() - t0
print("A5G time %.4f" % (dur_a5g))
beta = np.array(a5g_res[0])
gaps = a5g_res[2]
times = a5g_res[3]
print(beta[beta != 0])
from a5g.utils import primal, dual
R = y - X_new.dot(beta)
dual_scale = max(alpha, np.max(np.abs(X_new.T.dot(R))))
p_obj = primal(R, beta, alpha)
d_obj = dual(y, R / dual_scale, alpha, (y**2).sum())
print(p_obj - d_obj)
assert (p_obj - d_obj) < tol
t0 = time.time()
prob = blitzl1.LassoProblem(X_new, y)
blitzl1.set_use_intercept(True)
blitzl1.set_tolerance(tol)
sol = prob.solve(alpha)
print("Blitz time %.3f s" % (time.time() - t0))
beta_blitz = sol.x[sol.x != 0]
R = y - X_new.dot(sol.x)
p_obj_blitz = 0.5 * (R**2).sum() + alpha * norm(sol.x, ord=1)
# parameters
j_star = np.argmax(np.abs(X.T.dot(y)))
alpha_max = np.linalg.norm(X.T.dot(y), ord=np.inf)
n_alphas = 5
eps = 1e-3
alpha_ratio = eps**(1. / (n_alphas - 1))
# alphas = np.array([alpha_max * (alpha_ratio ** i) for i in range(0, n_alphas)])
max_iter = 5000
tol = 1e-8
scg = NO_SCREENING
X = csc_matrix(X)
tic = time.time()
intercept, sp_beta, sp_gap, sp_n_iters, _ =\
sp_lasso_path(X, y.copy(), [alpha_max / 100.], eps=tol, max_iter=max_iter,
screening=scg, j_star=j_star)
print "our time = ", time.time() - tic
from sklearn import linear_model
clf = linear_model.Lasso(alpha=alpha_max / 100. / n_samples,
fit_intercept=True)
clf.fit(X, y)
import blitzl1
blitzl1.set_use_intercept(1)
prob = blitzl1.LassoProblem(X, y)
sol = prob.solve(alpha_max / 100.)
print "intercept = ", intercept, clf.intercept_, sol.intercept