pybiglasso

Lasso and elastic-net regression for data larger than memory.

If your penalized regression won't fit in memory, pybiglasso fits it where the data already is: on disk. A 12 GB design matrix fits under a 3 GB memory limit, on an ordinary desktop, in under two minutes (see Performance).

Save the matrix as a numpy memmap and pybiglasso fits the whole regularization path, with cross-validation to choose the penalty, without loading it into memory.

To try it without installing anything, open the playground. It runs the same Rust solver, compiled to WebAssembly, in your browser, on example datasets or your own CSV or Parquet file, which never leaves your machine, and can cross-validate the fit.

pybiglasso fits least-squares (Gaussian) and logistic (binomial) models, and it's also fast when the data does fit in memory. For logistic regression, across four benchmark problems with 1,000 to 50,000 features, a full 100-step path runs 2.2–4.9x faster than R's glmnet, 2.4–8.9x faster than R biglasso, and 4.9–8.5x faster than skglm, the fastest of the other Python solvers we tested. For least squares, it is 2.2–2.3x faster than glmnet on wide data and level with it or faster on tall data, where scikit-learn is fastest (see Performance).

It is an unofficial Python port of the R package biglasso, and reproduces its results to floating-point precision for both families (see Validation).

Install

pip install pybiglasso

The core depends only on numpy and scipy; the solver is compiled Rust, in the wheel. Extras add optional integrations:

For BiglassoPath.to_pandas() or .to_polars(), install the package directly with pip install pandas or pip install polars.

CI tests the declared minimum versions too; dependency notes record the checks behind those bounds.

Quick start

import numpy as np
import pybiglasso as bl

# open the matrix on disk without loading it (a read-only memmap); store it
# column-major (Fortran order)
X = np.load("X.npy", mmap_mode="r")
y = np.load("y.npy")

path = bl.biglasso(X, y, alpha=1.0, nlambda=100)   # alpha=1: lasso
path
# BiglassoPath(500000 features, 100 lambdas from 0.112 to 0.000112, alpha=1.0)

path.coef                  # scipy.sparse (features x lambdas)
path.n_nonzero             # model size along the path
path.predict(X_new)        # (rows x lambdas); reads only the columns in use
path.score(X_val, y_val, metric="mse")

path.to_polars()           # lambda_, feature, coefficient (nonzero only)

To write such a file, open it as a column-major memmap and fill it a block of columns at a time, so the whole matrix never has to be in memory:

X = np.lib.format.open_memmap(
    "X.npy", mode="w+", dtype=np.float32,
    shape=(n_samples, n_features), fortran_order=True,
)
for start, block in read_blocks():
    X[:, start : start + block.shape[1]] = block
X.flush()

The values can be float64, float32, any integer type, or bool (a byte per value, read as 0 or 1). Use the narrowest type that holds them exactly: the fit is mostly reading X, so a narrower type is faster as well as smaller (see storage).

Unpenalized covariates (say age, sex, and principal components) take a penalty factor of 0:

pf = np.ones(X.shape[1])
pf[:12] = 0
path = bl.biglasso(X, y, penalty_factor=pf)

Least squares and logistic regression

family chooses the model. Least squares ("gaussian") is the default, as in R biglasso; for a 0/1 response, pass family="binomial":

model = bl.biglasso(X, y_binary, family="binomial")
model.predict_proba(X_new)       # (rows x lambdas)
model.score(X_val, y_val, metric="auc")

The two families share one solver, in Python and in the browser playground, and the same path options. A least-squares path predicts the response, reports the residual sum of squares as deviance, and scores by "deviance", "mse", or "r2". A logistic path predicts classes, with log-odds from decision_function and probabilities from predict_proba, reports the binomial deviance, and scores by "deviance", "auc", or "accuracy".

scikit-learn

The scikit-learn interface has an estimator for each family: BiglassoRegressor and BiglassoClassifier fit at one penalty strength, and BiglassoRegressorCV and BiglassoClassifierCV choose it by cross-validation. All four pass scikit-learn's estimator checks and work in pipelines and grid searches (install pybiglasso[sklearn]).

from pybiglasso import BiglassoRegressorCV, BiglassoClassifierCV

reg = BiglassoRegressorCV(l1_ratio=1.0, cv=5).fit(X, y)
clf = BiglassoClassifierCV(l1_ratio=1.0, cv=5, rule="1se").fit(X, y_binary)
clf.alpha_, clf.coef_

The estimators use scikit-learn's parameter names, which differ from R's:

What X can be

The design matrix X can be any of the types below. The first two are memory-mapped from a file: their data stays on disk and is read a column at a time, so it can be larger than memory.

Getting your data in has tested recipes for getting from CSV, Parquet, Excel, databases, or PLINK and VCF genotypes to one of these.

Why this exists

At 23andMe, I used R's biglasso package to fit penalized models on large genotype/phenotype datasets without loading them into memory. Over a holiday break, I ported it to Python, using numba for speed, partly to gain a better understanding of how it worked and partly because, assuming I could get it working, it would be convenient to stay within the Python ecosystem. I validated it against R biglasso, matching its coefficients, lambda grid, and iteration counts to floating-point precision, and benchmarked it on data both smaller and larger than memory.

In 2026 I revived the port for release, working with coding agents (Claude Code and Codex). That work added least-squares regression, the scikit-learn estimators and cross-validation, extended the validation (against R across many more configurations, and with checks independent of R, which turned up the differences listed below), rewrote the solver in Rust, and carried the performance work and benchmarks further.

This is an independent port, not affiliated with or endorsed by the biglasso authors: Yaohui Zeng, Chuyi Wang, Tabitha Peter, and Patrick Breheny. If you use it, please cite their paper (below).

Validation

pybiglasso is checked two ways: against R biglasso, which it ports, and against checks that don't depend on R, which also cover the few places where the two differ (see Differences).

Against R. Every push runs pybiglasso against stored R biglasso 1.7.2 output for 192 configurations (40 least-squares and 152 logistic), comparing coefficients, deviance, the lambda grid, centering and scaling, strong-rule rejections, and the iteration count at every lambda, with rtol=1e-9. The grid covers wide and tall problems, genotype-like dosage data (including int8 and uint8 storage), memmaps, float32, row subsets, penalty factors (including zeros), user-supplied and linear lambda grids, dfmax truncation, and saturation. The comparison runs pybiglasso with r_compatible=True; for cases with penalty factors it passes R pybiglasso's lambda grid, which sets aside the zero-penalty-factor case under Differences. A weekly job reruns the grid live against the current CRAN release, to catch upstream changes.

Independent of R.

• Optimality. Converged test paths satisfy the elastic-net optimality (KKT) conditions to 1e-6, on wide, correlated, partly unpenalized, and genotype-like designs, for both families; duality gaps, some in exact arithmetic, and curvature bounds certify how close the coefficients are to the optimum.
• Reference solutions. Small problems are solved without pybiglasso, from closed forms (orthogonal designs, single features) or by enumerating every active set, and the fits are held to those solutions within derived numerical bounds.
• Other solvers. R's glmnet minimizes the same objective; its paths are stored from a pinned release and checked at every lambda, for least squares and for logistic fits, including rare-response fits whose log-odds exceed R biglasso's cutoff of 10. For logistic regression, scikit-learn's saga solver, tightly converged, finds the same coefficients as well: each pair passes the optimality conditions, and then their distance is certified, to about 1e-7 on tall data and, through the duality gap, to about 1e-5 on wide data (all but the wide lasso, whose optimum need not be unique). In the benchmarks, glum reaches the same elastic-net objective too.
• Where R differs. R's elastic-net update (reproduced by r_compatible=True) doesn't satisfy the optimality conditions, and its coefficients differ from saga's by 2–50% of their size on the test problem. This is the basis for the elastic-net difference under Differences.
• Shifted data. Adding 1e8 to every column of X leaves the solution unchanged and still optimal; this is the case described under Differences as data far from zero.

uv run pytest               # against stored R output; no R needed
make test-r                 # live, in a container (CONTAINER=podman works too)
make test-r R_VERSION=latest
make soak                   # larger memory-mapped problems; for a big machine
make soak-hypothesis        # property tests, wide random search (part of soak)

Performance

These benchmarks measure speed; correctness is established separately, against R biglasso and by checks independent of it (see Validation). In memory, every solver is given the same problem and the same 100-value lambda path, at its own default tolerance, and its accuracy is reported alongside its time. All ran on an AMD Ryzen 5 5600X (6 cores, 12 threads) with 64 GB of RAM, Python 3.14, and R 4.6.1, at 1, 6 and 12 threads; each solver is shown at its fastest. A time is the median of three runs, each in a fresh process, or a single run for a solver slow enough to take over a third of its time limit.

Each time covers the solver's own fitting calls. pybiglasso, R biglasso and glmnet standardize raw X themselves, inside that time. The Python solvers, which don't standardize, were given X already standardized; the benchmark's own preparation for them (centering the data for scikit-learn's least-squares path, and recovering its intercept) is outside it. Python competitors were stopped at 10x pybiglasso's single-threaded time, and at no less than 5 seconds, which would otherwise have stretched the runs to many hours; R gets a fixed 900 seconds. Since pybiglasso is shown at its fastest thread count, a stopped run sits beyond 10x in the figures. The scripts and raw results are in benchmarks/.

Least squares

pybiglasso is the fastest on wide data, 2.2–2.3x faster than glmnet. On tall data it is level with glmnet on the smaller problem and 1.6x faster on the larger, but scikit-learn is faster still, by 3–4x: with many more rows than features, its enet_path forms the Gram matrix XᵀX once and runs coordinate descent on that, so each update costs time in the number of features rather than rows. On wide data, scikit-learn is 4–5x slower than pybiglasso. Times are in seconds, lasso / elastic net (α=0.5); "≥" marks a run stopped at its time limit:

Every path that finished reached all 100 lambdas without warnings. The largest optimality (KKT) residual, in response units, is about 1e-4 for pybiglasso, R biglasso, glmnet and skglm, and 1e-5 for glum; scikit-learn's is 5e-5 on the tall datasets and 1.2e-2 for the wide lasso, at its default tolerance. glmnet's fast Gaussian path rescales the response by its standard deviation sᵧ, so it was given α′ = α / (α + (1−α)sᵧ) and λ′ = λ(α + (1−α)sᵧ), which solve the same standardized objective (for the lasso, α and λ are unchanged). Dropping generated constant columns leaves 973 features on the smallest dataset.

Logistic regression

pybiglasso is the fastest on every dataset: 2.2–4.9x faster than glmnet, 2.4–8.9x faster than R biglasso, and 4.9–8.5x faster than skglm, the fastest of the Python solvers. In seconds, lasso / elastic net (α=0.5):

Which solvers. R biglasso, the original; R's glmnet, whose coordinate descent biglasso builds on; and every maintained Python package, installable with pip, that fits L1 or elastic-net logistic regression on a CPU: scikit-learn (its liblinear and saga solvers), glum, skglm, and statsmodels. liblinear and statsmodels fit the lasso only. statsmodels ran only on the tall datasets: its L1 fit uses a general-purpose optimizer with dense matrices over twice the columns, which would need about 12 GB and 76 GB on the wide ones.

Accuracy. Accuracy here is each path's worst relative gap, over its lambdas, between its objective and the best any solver reached at that lambda (not a certified gap to the optimum). glmnet fits every path about as accurately as pybiglasso: a worst gap of 3e-6 against pybiglasso's 3e-6. R biglasso matches pybiglasso exactly for the lasso; for the elastic net each runs its own update (see Differences), and pybiglasso with r_compatible=True, which matches R, takes about as long as its default. R's adaptive screening rule is no faster than SSR on these problems.

With a relaxed limit. To show how large the gaps get, the smallest problem (5,000 × 1,000) also ran with the limit raised to 1,000x pybiglasso's time, up to 900 seconds:

To rerun both families and redraw the figures and tables:

make r-image R_VERSION=4.6.1  # once
export CONTAINER=docker R_IMAGE=pybiglasso-r:r4.6.1 THREADS="1 6 12"
DATASETS="tall-5k-1k tall-50k-2k wide-2k-20k wide-5k-50k" \
  benchmarks/run-gaussian.sh benchmarks/results/path-gaussian-zen3.jsonl
benchmarks/run-path.sh zen3
make benchmark-figures

Out of core

This test fits a 12 GB float64 matrix (20,000 x 75,000) with memory capped at 3 GB. pybiglasso read a numpy memmap under a cgroup memory limit; R read a file-backed big.matrix in a container with the same limit, and both were measured from their cgroup's accounting. Before each run, the matrix was evicted from the page cache. Both fit the same 20-lambda lasso path and agree to 1e-9, with identical iteration counts. pybiglasso ran twice, and both runs are shown; R ran once.

Here the disk sets the pace, and times vary by a third from run to run. Extra threads don't reliably help: they evict pages each other still need.

Not compared

Some solvers fall outside the rule above:

• Other languages: Julia's GLMNet.jl, a wrapper of glmnet's earlier Fortran solver, and Lasso.jl, written in Julia.
• Other hardware: RAPIDS cuML fits on a GPU, and only data that fits in GPU memory.
• Unmaintained: python-glmnet, archived, with its last release in 2020.
• A different problem: celer's logistic regression fits the lasso only, and no intercept. skglm, from the same authors, fits an intercept and the elastic net, and is compared above.
• Not a solver: benchopt is a benchmarking framework; its logistic-regression benchmark fits without an intercept or standardization, which pybiglasso doesn't support yet.

Differences from R biglasso

pybiglasso follows R biglasso 1.7.2 closely, matching it coefficient for coefficient and down to its iteration and screening counts. It departs in a few places, mostly where we think R's behavior may not be what was intended; if we've erred we'd be glad to be corrected. Each departure is marked in the code with a comment beginning "Differs from R biglasso".

Both families.

• Zero penalty factors. With a penalty.factor of 0 and the default lambda grid, R's grid comes out as lambda = 0 at every step. pybiglasso instead fits the unpenalized columns first, and starts the path at the smallest lambda that keeps every penalized column at zero.
• Default lambda_min. R chooses 0.001 or 0.05 by comparing nrow(X) with ncol(X); pybiglasso compares the number of rows actually fit, which differs when row_indices is given.
• Data far from zero. For columns whose mean is large next to their spread (say, values near 1e8 that vary by 1), standardizing from raw sums loses precision in floating point. R's scales, and so its fit, can be affected without a warning; in our tests some scales came out as NaN. pybiglasso computes these columns' moments from centered values, so a constant shift of X leaves the solution unchanged.
• Invalid input. NaN or infinite values in the rows being fit, and non-finite penalty factors or lambdas, raise ValueError; R instead drops the affected column or returns the null model.
• Unrepresentable grids. If an automatic grid overflows (for example, with extremely small positive alpha), R returns non-finite penalties, and pybiglasso raises ValueError, for both families and in both modes. Finite supplied grids remain supported, including in compatibility mode.

Least squares.

• Constant responses. R's strict convergence comparison against a zero null loss uses the full iteration budget for a constant response. pybiglasso stops once the coefficients no longer change; r_compatible=True retains R's comparison.
• Zero maximum penalty. R's logarithmic grid calculation can produce non-finite values when the maximum penalty is zero. pybiglasso returns a finite all-zero grid, whose fits solve the unpenalized problem.
• Loss after an iteration limit. R can leave loss at zero when the budget ends with outstanding KKT violations. pybiglasso reports the returned model's residual sum of squares; r_compatible=True retains R's bookkeeping.

Logistic regression.

• Elastic-net update. For alpha < 1, R's logistic coordinate update divides by v * (1 + l2), where the elastic-net objective in its documentation calls for v + l2, so the two solve somewhat different problems. pybiglasso uses v + l2, as glmnet and scikit-learn do; r_compatible=True reproduces R exactly for this update.
• Probability clipping. R sets probabilities to 0 or 1 beyond |eta| > 10, with weights of 1e-4. Default mode uses glmnet's pmin = 1e-9 boundary, |eta| > log(1 / pmin - 1) (about 20.7). This reduces each clipped row's probability error from at most 4.6e-5 to 1e-9. We retain a positive boundary weight of pmin * (1 - pmin) so the working residual (y - p) / w remains defined; glmnet can use zero weights. Default-mode coefficients, iterations and screening counts can change, for both lasso and elastic net. r_compatible=True retains R's cutoff and weights. Independent KKT checks against pinned glmnet fits cover the change.
• Deviance. deviance is the deviance, -2 log-likelihood, of the returned model. R reports loss, half the deviance, computed before the final coordinate sweep and with probabilities clipped at 0 and 1, so it can occasionally be infinite. r_compatible=True keeps R's version.
• Saturation. stop_on_saturation=False, an option R doesn't have, fits every lambda, even past R's saturation cutoff.

Threads, cross-validation, and storage

pybiglasso reads the matrix one column at a time, through the memmap, and never loads or copies it; strong-rule screening skips most columns at most steps. Cross-validation folds are row indices into the same matrix on disk.

• Threads help larger fits (n_threads=). By default, "auto" (also None) chooses one thread for a memmap or fewer than 10 million entries in the rows and columns being fit (rows × columns), otherwise physical cores (performance cores on Apple silicon). RAYON_NUM_THREADS caps auto; an explicit positive integer overrides it. See the rule and evidence. Screening and optimality scans run in parallel across columns; tall logistic fits also parallelize IRLS across rows. Coordinate descent remains sequential. Results are bit-identical at any thread count.
• Cross-validation scales with cores. BiglassoRegressorCV(n_jobs=...) and BiglassoClassifierCV(n_jobs=...) fit folds in parallel threads that share one X (and, for a memmap, one page cache); results don't depend on n_jobs.
• Cross-validation can stop each fold early. With BiglassoClassifierCV(early_stopping=10), a fold's path stops once its held-out score has gone 10 alphas without improving, as bigstatsr's big_spLogReg does, and the fit on all the rows stops at the chosen alpha. On wide data, where the end of the path costs most, this saves much of the work; the cost is that a better score past the stopping point goes unseen. It is off by default.
• Store X compactly. Since the work is mostly moving bytes, a narrower dtype is faster: small integers (counts, categories, 0/1 indicators) as int8 or uint8 take 8x less memory and disk than float64, and fit 1.3–1.6x faster in memory; float32 halves the memory and is about as fast. Each value is read as a float64, so values that a narrower dtype holds exactly give bit-identical results. Feather files keep bool columns at one bit per value, and each column can have its own type (see What X can be).
• Bounds checking is on by default. Every index into an array is checked, which guards against a bug in pybiglasso reading past the end of X (inputs, row_indices among them, are validated before a fit either way). It costs little where X's rows are read in place: a whole Fortran-ordered X, or a subset of at least half its rows without repeats, as in cross-validation, which is read through a mask. Where every read goes through an index or a stride (C-ordered X, or a smaller or repeating row_indices), it costs up to about 15%. PYBIGLASSO_BOUNDSCHECK=0 turns it off; the path is the same (lambdas, iterations, screening), with identical coefficients.

How the code is organized

R biglasso implements each family's solver in a few long C++ functions; for logistic regression, two: cdfit_binomial_ssr standardizes, sets up the lambda grid, and runs the lambda loop with its strong rule and KKT checks, and cdfit_binomial_lambda_core runs the coordinate descent at each lambda. That keeps the algorithm in a few places, close to how it's written in the papers.

pybiglasso splits the same algorithm into one small function per step, each documenting the state it changes, plus a short driver, fit_lambda, that reads like the algorithm's outline. To my eye that's easier to read, test, and modify. It's a matter of taste, though; some excellent programmers prefer the long inlined function you can read straight through (John Carmack has a good essay on why). The solver takes the same number of iterations as R's at every lambda; the R comparison checks this in every case.

The solver is written twice, in the same steps. The one that runs is Rust (rust/src/solver.rs): one call from Python fits the whole path. The readable one, tests/support/reference.py, is plain numpy, step by step, and imports nothing from pybiglasso; the tests hold the Rust solver to it, and both to R.

The least-squares driver and coordinate sweeps, in rust/src/gaussian.rs, port R's Gaussian SSR solver the same way. They share column access, standardization, and the fixed-order sums with the logistic solver, and since the curvature is constant they update residuals directly, without the IRLS step. The numpy reference covers both families.

Every sum over rows runs in an order fixed by the data's shape alone. Threads split the work by column, and a tall column's rows into 2,048-row chunks whose sums are added in order. Within a chunk, eight running sums are combined in a fixed order, so vector instructions of any width (AVX2, AVX-512, ARM's NEON) give the same result, and no multiply and add are fused into one instruction, which would round differently. Exponentials and logarithms come from a portable implementation rather than the operating system's math library, whose last bits differ between Linux, macOS, and Windows. So results are bit-identical at any thread count, on any CPU, and on every operating system with a wheel.

Scope

• Gaussian (least-squares) and binomial (logistic) families; Cox is not ported.
• SSR (sequential strong rule) screening only. R uses its newer Hybrid and Adaptive rules only for the plain lasso without penalty factors, and they were no faster than SSR on our benchmarks.

Citation

Zeng Y, Breheny P (2021). The biglasso Package: A Memory- and Computation-Efficient Solver for Lasso Model Fitting with Big Data in R. The R Journal, 12(2), 6–19. doi:10.32614/RJ-2021-001

License

GPL-3.0-or-later, as R biglasso is GPL-3.