MIXSQPX: A Jax-compatible interface to the mixSQP algorithm

This package provides a jax-compatible interface to the mixSQP algorithm described in,

Kim, Y., Carbonetto, P., Stephens, M., & Anitescu, M. (2020). A Fast Algorithm for Maximum Likelihood Estimation of Mixture Proportions Using Sequential Quadratic Programming. Journal of Computational and Graphical Statistics, 29(2), 261–273.

The implementation of the mixSQP algorithm in this package was ported from the R implementation by the authors of this paper which uses the Rarmadillo package as an interface to the Armadillo C++ library.

This package (misxqpx) provides a function mixsolve, which can can be transformed with Jax transformations such as jit.

Installation

We use the Pixi package manager to handle installation and dependencies.

Linux Installation

# Install pixi if you don't have it already
curl -fsSL https://pixi.sh/install.sh | bash

# Clone the repository
git clone https://github.com/pdiegert/mixsqpx.git
cd mixsqpx

# Install dependencies and build the package
pixi install

Windows Installation

# Install pixi if you don't have it already
iwr -useb https://pixi.sh/install.ps1 | iex

# Clone the repository
git clone https://github.com/pdiegert/mixsqpx.git
cd mixsqpx

# Install dependencies and build the package
pixi install

Verification

Run the test suite to verify your installation:

pixi run test

License

This project is licensed under the MIT License - see the LICENCE file for details.

Acknowledgements

This project includes code adapted from the mixSQP project, which is available under the MIT license. We thank the original authors (Youngseok Kim, Peter Carbonetto, Matthew Stephens and Mihai Anitescu) for their work.