EASIER-net

Feng, Jean, and Noah Simon. 2022. “Ensembled Sparse‐input Hierarchical Networks for High‐dimensional Datasets.” Statistical Analysis and Data Mining, March. https://doi.org/10.1002/sam.11579.

Python code for fitting EASIER-nets and reproducing all results from the paper. The python code uses PyTorch.

R code for fitting EASIER-net is available at https://github.com/jjfeng/easier_net_R.

Quick-start

Setup a python virtual environment (code runs for python 3.6) with the appropriate packages from requirements.txt.

Simulate data using by following the tutorial notebook or load your own into a npz format with x and y attributes. You may also perform GridSearchCV by following the tutorial.

To fit an EASIER-net, run

python fit_easier_net.py --n-estimators <N_ESTIMATORS> --input-filter-layer <INPUT_FILTER_LAYER> --n-layers <N_LAYERS> --n-hidden <N_HIDDEN> --input-pen <INPUT_PEN> --full-tree-pen <FULL_TREE_PEN> --batch-size <BATCH_SIZE> --num-classes <NUM_CLASSES>  --weight <WEIGHT> --max-iters <MAX_ITERS> --max-prox-iters <MAX_PROX_ITERS> --model-fit-params-file <MODEL_FIT_PARAMS_FILE>

where:

• N_ESTIMATORS should be size of ensemble; the number of SIER-nets being ensembled.
• INPUT_FILTER_LAYER is whether to scale the inputs by parameter β
• N_LAYERS is the number of hidden layers
• N_HIDDEN is the number of hidden nodes per layer
• INPUT_PEN specifies $\lambda_1$ in the paper; controls the input sparsity
• FULL_TREE_PEN specifies $\lambda_2$ in the paper; controls the number of active layers and hidden nodes
• BATCH_SIZE specifies the size of the mini-batches for Adam
• NUM_CLASSES should be 0 if doing regression and NUM_CLASSES should be the number of classes if doing binary/multi-classification
• WEIGHT is a list of weights for the classes
• MAX_ITERS is the number of epochs to run Adam
• MAX_PROX_ITERS is the number of epochs to run batch proximal gradient descent
• MODEL_FIT_PARAMS_FILE is a json file that specifies what the hyperparameters are. If given, this will override the arguments passed in.

To perform cross-validation, one should run separate fit_easier_net.py scripts for each candidate penalty parameter values. Then select the best penalty parameter values using collate_best_param.py.