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WIP: AdaptiveLasso and AdaptiveLassoCV #169

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1971397
Add AdaptiveLasso and AdaptiveLassoCV classes
mathurinm Nov 11, 2020
86287c5
doc and docstrings
mathurinm Nov 11, 2020
82e1fbe
Add a test, disable warm starting theta
mathurinm Nov 11, 2020
6833e7a
forgot to commit test
mathurinm Nov 11, 2020
3684efa
Use reweighting in LassoCV, add example
mathurinm Nov 11, 2020
fbc527b
example
mathurinm Nov 11, 2020
95cc5f0
fix self.model
mathurinm Nov 11, 2020
a92b530
Improve example
mathurinm Nov 11, 2020
98b0766
Better description + Readme
mathurinm Nov 11, 2020
ddd12bb
invert loop over alphas and reweightings
mathurinm Dec 7, 2020
f96e3e3
messed up rebase
mathurinm Jan 20, 2021
ad93c8d
Ignore infinity weights in primal, recompute theta always
mathurinm Jan 20, 2021
5ec3776
other messup in rebase
mathurinm Jan 20, 2021
0a8dcf6
make docstring test pass
mathurinm Jan 20, 2021
3922fdc
Flake
mathurinm Jan 20, 2021
7332a54
avoid division by zero warning
mathurinm Jan 21, 2021
587bec8
a broken test that is not fixed by disabling screening
mathurinm Jan 21, 2021
e683519
even simpler failing case
mathurinm Jan 21, 2021
1fe0aff
Fix: mismatch between infinite weights and non zero w[j]
mathurinm Jan 21, 2021
2ec58ff
script to play with AdaptiveLassoCv path
mathurinm Jan 21, 2021
f62a7d0
no screening for non zero feature
mathurinm Jan 21, 2021
0c5eb40
better example adaptive
mathurinm Feb 17, 2021
d764302
fix new example
mathurinm Feb 17, 2021
498b887
improve example
mathurinm Feb 17, 2021
49c99da
Merge branch 'master' of github.com:mathurinm/celer into adaptivelassocv
mathurinm Feb 17, 2021
bc5bd52
flake8
mathurinm Feb 17, 2021
28b18db
Merge branch 'master' of github.com:mathurinm/celer into adaptivelassocv
mathurinm Feb 18, 2021
98d834f
flexible reweighting function
mathurinm Mar 14, 2021
93963af
rm print, fix missing abs in sqrt weights
mathurinm Mar 14, 2021
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messed up rebase
mathurinm committed Jan 20, 2021
commit f96e3e33e86b4a0167e18c170ad7332c699387bb
4 changes: 3 additions & 1 deletion celer/homotopy.py
Original file line number Diff line number Diff line change
@@ -5,9 +5,11 @@

import numpy as np

import warnings
from scipy import sparse
from numpy.linalg import norm
from sklearn.utils import check_array
from sklearn.exceptions import ConvergenceWarning
from sklearn.linear_model._base import _preprocess_data

from .lasso_fast import celer
@@ -305,7 +307,7 @@ def celer_path(X, y, pb, eps=1e-3, n_alphas=100, alphas=None,
is_sparse, LASSO, X_dense, grp_indices, grp_ptr, X_data,
X_indices,
X_indptr, X_sparse_scaling, y, alpha, w, Xw, theta,
norms_X_grp, tol, max_iter, max_epochs, gap_freq, p0=p0,
norms_X_grp, tol, max_iter, max_epochs, p0=p0,
prune=prune, verbose=verbose)
elif pb == LASSO or (pb == LOGREG and not use_PN):
if reweight_iter > 0: