heteroknockoffpy 0.1.1

Knockoffs and importances for heterogeneous data with conditional residuals and random forests

heteroknockoffpy

Knockoffs and importance measures for heterogeneous (mixed numeric/categorical) data, using conditional residuals and random forests.

Based on the knockoff filter framework (Candès et al., 2018).

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Installation

pip install heteroknockoffpy

categorical_method='forest' and method='SCIP' require R and rpy2. Install the ranger and rangerKnockoff R packages before using them.

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Knockoffs

from heteroknockoffpy import knockoff
import numpy as np

rng = np.random.default_rng(0)

# X is a polars DataFrame; categorical columns must have dtype pl.Categorical
Xk = knockoff.get_knockoffs(
    X,
    method="second_order",   # "second_order" | "GAN_torch" | "SCIP"
    rng=rng,
    categorical_method="forest",
)

method

value	behavior
'second_order'	Matches the first two moments (mean and covariance) of X. Fast and closed-form via the R knockoff package. Works well when the joint distribution is approximately Gaussian; may lose power in strongly non-linear settings.
'GAN_torch'	Trains a GAN in PyTorch to learn the full joint distribution of X and generate knockoffs that are indistinguishable from it. Slower than second-order but can capture non-Gaussian and non-linear dependence structures.
'SCIP'	Sorted L1 Penalized Inference knockoffs via the rangerKnockoff R package. Fits a ranger random forest per column to estimate conditional distributions, then generates knockoffs from those conditional models. The most statistically principled method for non-parametric joint distributions.

categorical_method

Controls how categorical columns are encoded before knockoffs are generated. Not applicable when method='SCIP' (which handles categoricals natively).

value	behavior
'forest'	Fits a ranger random forest per categorical column; uses predicted class-probability logits as a soft numeric encoding
'linear'	Same, but with logistic regression — lighter and faster
'ohe'	Hard one-hot-encodes categories as floats; no probability smoothing
'scip'	For numeric columns, operates on conditional residuals `X_j − E[X_j

'scip' is the most statistically principled approach for mixed data. 'forest' or 'linear' are convenient defaults when a quick approximation is acceptable.

conditional_expectations

A pl.DataFrame of shape (n, p_numeric) giving E[X_j | X_{-j}] for each numeric column. Only relevant when categorical_method='scip'.

from heteroknockoffpy import rbridge

# compute once, reuse across multiple knockoff draws
ce = rbridge.get_forest_conditional_expectations(X)

Xk1 = knockoff.get_knockoffs(X, method="GAN_torch", rng=rng,
                               categorical_method="scip",
                               conditional_expectations=ce)
Xk2 = knockoff.get_knockoffs(X, method="GAN_torch", rng=rng,
                               categorical_method="scip",
                               conditional_expectations=ce)

If conditional_expectations=None (the default) and categorical_method='scip', the package computes them internally using R ranger::ranger. Pass a pre-computed frame to avoid refitting the forest on every call.

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Importances

All importance functions return a np.ndarray of length 2p — scores for [x_1, …, x_p, x̃_1, …, x̃_p]. Use wFromImportances to convert these to knockoff W-statistics for variable selection.

PRISM-W — prismWImportances

Trains a single MLP on [X, Xk] while sweeping a lambda regularization path. Records first-layer column norms ‖W[:,j]‖₂ at the end of each lambda stage; the returned importances are the mean across all snapshots. Fast — no extra forward passes per snapshot.

from heteroknockoffpy.importance import prismWImportances

imp = prismWImportances(
    X=X, Xk=Xk, y=y,
    layers=[64, 32],
    outcome_type="continuous",   # "continuous" | "count" | "categorical" | None (inferred)
    model_type="mlp",            # "mlp" | "pairwise" | "additive"
    epochs=500,
)

PRISM-G — prismGImportances

Same training procedure as PRISM-W. Records per-feature output sensitivity φⱼ = mean|ŷ(x+σeⱼ) − ŷ(x−σeⱼ)| / 2σ at each lambda stage. More directly tied to the model's predictions than PRISM-W, but requires extra forward passes per snapshot.

from heteroknockoffpy.importance import prismGImportances

imp = prismGImportances(
    X=X, Xk=Xk, y=y,
    layers=[64, 32],
    outcome_type="continuous",
    local_grad_method="auto_diff",  # "auto_diff" | "bandwidth"
    bandwidth=None,                 # only used when local_grad_method="bandwidth"
    model_type="mlp",
    epochs=500,
)

The regularization path defaults to logspace(1, -2, 50); pass lambda_path and/or a_path to override. epochs is distributed evenly across stages.

Lasso — lassoImportances

Fits a penalized linear model on [X, Xk] and uses absolute coefficient values as importances. Cross-validates the regularization strength automatically. Fast and interpretable; best when the outcome-feature relationship is approximately linear.

• continuous: LassoCV (sklearn)
• count: PoissonLassoCV (L1-penalized Poisson GLM)
• categorical: LogisticRegressionCV with L1 penalty (SAGA solver)

from heteroknockoffpy.importance import lassoImportances

imp = lassoImportances(X=X, Xk=Xk, y=y, outcome_type="continuous")

Ridge — ridgeImportances

Same as lassoImportances but with L2 regularization. Coefficients are shrunk but not zeroed, so all features retain non-zero importance. Useful when many features are expected to have small true effects.

• continuous: RidgeCV (sklearn)
• count: PoissonRegressor via GridSearchCV (neg Poisson deviance scoring)
• categorical: LogisticRegressionCV with L2 penalty (LBFGS solver)

from heteroknockoffpy.importance import ridgeImportances

imp = ridgeImportances(X=X, Xk=Xk, y=y, outcome_type="continuous")

Elastic Net — elasticImportances

Interpolates between Lasso and Ridge via l1_ratio (0 = Ridge, 1 = Lasso). Useful when there are groups of correlated features — the L2 component keeps them together while L1 performs selection.

• continuous: ElasticNetCV (sklearn)
• count: PoissonLassoCV with L1_wt=l1_ratio
• categorical: LogisticRegressionCV with penalty='elasticnet'

from heteroknockoffpy.importance import elasticImportances

imp = elasticImportances(X=X, Xk=Xk, y=y, outcome_type="continuous", l1_ratio=0.5)

Delegates to lassoImportances when l1_ratio=1 and to ridgeImportances when l1_ratio=0.

Random Forest Gini — rangerGiniImportances

Fits a ranger random forest on [X, Xk] and returns variable importances based on mean decrease in node impurity (Gini importance). Non-parametric and robust to non-linearities; no hyperparameter tuning required.

from heteroknockoffpy.importance import rangerGiniImportances

imp = rangerGiniImportances(X=X, Xk=Xk, y=y, outcome_type="continuous")

Requires R and rpy2 with the ranger package installed.

model_type (PRISM only)

value	behavior
'mlp'	Standard MLP on [X, Xk] with group regularization on first-layer columns
'pairwise'	Adds a learnable filter that creates convex combinations of xⱼ and x̃ⱼ, forcing explicit per-feature competition
'additive'	Feature-wise sub-networks with separate group regularization for X and Xk channels

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Variable selection

from heteroknockoffpy.importance import wFromImportances, selection_threshold

W = wFromImportances(imp)
threshold = selection_threshold(W, fdr=0.1)
selected = [j for j, w in enumerate(W) if w >= threshold]