scm2cpp-lasso

Japanese (README.ja.md)

Lasso by coordinate descent over a Gram matrix, with an optional GPU path. The solver is Scheme, translated to C++ by scm2cpp.

$ pip install scm2cpp-lasso

Installing needs a C++17 compiler and nothing else. If nvcc is on the path, the batched GPU solver is built as well; if it is not, the package installs and works exactly the same, minus that one method.

Three of a hundred candidate columns carry the signal; the solver is asked which, and answers with them and nothing else:

import numpy as np
from scm2cpp_lasso import CovLasso

rng = np.random.default_rng(0)
X = rng.standard_normal((500, 100))          # 500 rows, 100 candidates
beta = np.zeros(100)
beta[[7, 23, 61]] = [2.0, -1.5, 0.8]         # only three of them matter
y = X @ beta + 0.1 * rng.standard_normal(500)

model = CovLasso(X, y)                       # the Gram matrix, built once
path = model.fit_path(model.lambda_grid())   # 100 lambdas, warm-started

fit = path[60]
for j in np.flatnonzero(np.abs(fit) > 1e-6):
    print(f"  x{j:<3} {fit[j]:+.3f}")

  x7   +1.965
  x23  -1.474
  x61  +0.770

The other 97 are exactly zero -- that is what the penalty is for -- and the coefficients are the planted ones, shrunk toward zero by it.

The rest of the interface:

from scm2cpp_lasso import cuda_available

lambdas = model.lambda_grid(num=100)        # from lambda_max down
path = model.fit_path(lambdas)              # warm-started, sequential
grid = model.fit_path_batch(lambdas)        # every lambda from zero
print("GPU:", cuda_available())

The objective is scikit-learn's, with fit_intercept=False:

(1 / 2 nobs) ||y - X b||^2 + lam ||b||_1

Penalties are compared against correlations on the features' own scale, so the useful range of lam depends on the data. lambda_max() is the smallest penalty that leaves every coefficient at zero, and lambda_grid() walks down from it -- the construction scikit-learn uses. If your columns differ wildly in scale, standardize them first; this solver does not do it for you.

Which method

fit_path walks a single path, each lambda starting from the previous solution -- the descent is exactly resumable, so this costs almost nothing per lambda after the first. fit_path_batch solves every lambda from zero, which is what a cross-validation grid needs, where the folds differ and warm starting across lambdas is not on offer; the problems are independent, so they go to the GPU together.

Over a 400-lambda path at p=200 and 1800 rows, on an RTX 4090 and an i9-10900X:

GPU and CPU agree to 2e-14, and the objectives are within 3e-17 of scikit-learn's lasso_path on the same grid.

Elastic net and ridge

The same Gram matrix serves two more estimators. fit_path and fit_path_batch take l1_ratio (scikit-learn's mixing parameter): the L2 share of the penalty enters only the update's denominator, so the elastic net runs on the identical machinery, GPU path included, and l1_ratio=1 is bit-for-bit the lasso.

CovRidge is the closed form: one symmetric eigendecomposition, then every alpha costs O(p^2), so thousands of alphas cost what one does. Its objective matches scikit-learn's Ridge with fit_intercept=False (which, unlike the lasso, is not scaled by the number of rows), and agrees with it to machine precision.

path = model.fit_path(lambdas, l1_ratio=0.5)   # elastic net
ridge = CovRidge(X, y)
betas = ridge.fit_path(ridge.alpha_grid())     # a whole ridge path

Logistic regression with L1

CovLogistic solves L1-penalized logistic regression by majorization: the logistic Hessian is bounded by X'X/4, so the quadratic term is the same Gram matrix, fixed once, and each outer round costs one gradient pass before handing the majorizer to the same coordinate descent the lasso uses. Objectives agree with scikit-learn's LogisticRegression(penalty="l1", fit_intercept=False) at C = 1/(n lam) to 9e-15.

Group lasso

CovGroupLasso penalizes whole groups -- lam * sum_g sqrt(|g|) ||b_g|| -- so correlated features enter or leave together. Block coordinate descent on the same Gram machinery: each block visit is one majorized proximal step (the group's Gram block dominated by its top eigenvalue, found once), descending monotonically. With size-one groups it reduces exactly to the lasso -- verified against sklearn to 9e-16 -- and at convergence the group KKT conditions hold to 2e-12.

Bootstrap on the GPU

bootstrap draws pairs-bootstrap resamples and refits them all at one lambda. Each resample's Gram matrix is X' diag(m) X for its multiplicity counts m -- one BLAS product -- and because the problems are independent, the descents run as one batch: on the GPU, one thread per resample, each reading its own Gram matrix.

betas = model.bootstrap(lam, n_boot=500, seed=0)   # (500, p)
freq = (abs(betas) > 1e-9).mean(axis=0)            # selection frequency

Requires constructing the model from X, y (a Gram matrix alone cannot be resampled by rows). GPU and CPU agree to machine precision.

A design with structure

When the design matrix has structure, forming X'X the general way is the wrong move. kernel exposes the translated functions directly, and scm2cpp-tfs does exactly that for moving-average designs: it builds the Gram matrix from a series' prefix sums in O(n p) time, never forming the design. That package stands alone -- it carries its own copy of this descent -- so neither installs the other.

Where this comes from

The C++ this compiles is committed to python/scm2cpp-lasso/ in the scm2cpp repository, translated from examples/kernel-only/lasso-cov.scm. That repository also derives the covariance-update solver automatically from a naive one by finite differencing; this package is the derived kernel, packaged. To refresh the committed C++ after changing the Scheme, run regenerate.sh -- that step, and only that step, needs Racket.

License

MIT, the same as scm2cpp.