Knockoffs for variable selection

# Knockpy

A python implementation of the knockoffs framework for variable selection. See https://amspector100.github.io/knockpy/ for detailed documentation and tutorials.

## Installation

To install knockpy, first install choldate using the following command:

pip install git+https://github.com/jcrudy/choldate.git

Then, install knockpy using pip:

pip install knockpy[fast]

To use the (optional) kpytorch submodule, you will need to install pytorch.

### What if installation fails?

knockpy relies on heavy-duty linear algebra routines which sometimes fail on non-Linux environments.

1. To start, install a lightweight version of knockpy using pip install knockpy. This should install correctly on all devices, and contains nearly all of the functionality of the prior installation. However, the algorithms for computing optimal distributions for Gaussian knockoffs, such as minimum reconstructability knockoffs and SDP knockoffs, may be an order of magnitude slower.

2. [Optional] To speed up computation for minimum reconstructability knockoffs (the default knockoff type):

(a) Run

 pip install cython>=0.29.14


If the installation fails, likely due to the incorrect configuration of a C compiler, you have three options. First, the Anaconda package manager includes a compiler, so the command

 conda install cython


should work on all platforms. Second, on Windows, you can install precompiled binaries for cython here. Lastly, on all platforms, the documentation here describes how to properly configure a C compiler during installation.

(b) Run

 pip install git+https://github.com/jcrudy/choldate.git

3. [Optional] To speed up computation for (non-default) SDP knockoffs, you will need to install scikit-dsdp. This can be challenging on non-Linux environments. We hope to provide more explicit instructions for installation of this package in the future.

## Quickstart

Given a data-matrix X and a response vector y, knockpy makes it easy to use knockoffs to perform variable selection using a wide variety of machine learning algorithms (also known as "feature statistic") and types of knockoffs. One quick example is shown below, where we use the cross-validated lasso to assign variable importances to the features and knockoffs.

    import knockpy as kpy
from knockpy.knockoff_filter import KnockoffFilter

# Generate synthetic data from a Gaussian linear model
data_gen_process = kpy.dgp.DGP()
data_gen_process.sample_data(
n=1500, # Number of datapoints
p=500, # Dimensionality
sparsity=0.1,
x_dist='gaussian',
)
X = data_gen_process.X
y = data_gen_process.y
Sigma=data_gen_process.Sigma

# Run model-X knockoffs
kfilter = KnockoffFilter(
fstat='lasso',
ksampler='gaussian',
)
rejections = kfilter.forward(X=X, y=y, Sigma=Sigma)


Most importantly, knockpy is built to be modular, so researchers and analysts can easily layer functionality on top of it.

## Reference

If you use knockpy in an academic publication, please consider citing Spector and Janson (2020). The bibtex entry is below:

@article{AS-LJ:2020,
title={Powerful Knockoffs via Minimizing Reconstructability},
author={Spector, Asher and Janson, Lucas},
journal={Annals of Statistics},
year={2021+},
note={To Appear}
}


## Project details

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