WIP ENH add censored quadratic df

skglm/datafits/__init__.py

@@ -1,5 +1,7 @@
 from .base import BaseDatafit, BaseMultitaskDatafit
-from .single_task import Quadratic, QuadraticSVC, Logistic, Huber, Poisson, Gamma, Cox
+from .single_task import (
+    Quadratic, QuadraticSVC, CensoredQuadratic, Logistic, Huber, Poisson, Gamma, Cox,
+)
 from .multi_task import QuadraticMultiTask
 from .group import QuadraticGroup, LogisticGroup
 

skglm/datafits/single_task.py

@@ -75,7 +75,8 @@ def initialize_sparse(self, X_data, X_indptr, X_indices, y):
             self.Xty[j] = xty
 
     def get_global_lipschitz(self, X, y):
-        return norm(X, ord=2) ** 2 / len(y)
+        n_samples = X.shape[0]
+        return norm(X, ord=2) ** 2 / n_samples
 
     def get_global_lipschitz_sparse(self, X_data, X_indptr, X_indices, y):
         return spectral_norm(X_data, X_indptr, X_indices, len(y)) ** 2 / len(y)
@@ -107,6 +108,101 @@ def full_grad_sparse(
     def intercept_update_step(self, y, Xw):
         return np.mean(Xw - y)
 
+class CensoredQuadratic(Quadratic):
+    """Quadratic datafit with access to Xty but not to y.
+
+    The datafit reads:
+
+    .. math:: 1 / (2 xx  n_"samples") ||Xw||_2 ^ 2 - 1 / (n_"samples") w^\top (X^\top y)
+
+    Attributes
+    ----------
+    Xty : array, shape (n_features,)
+        Pre-computed quantity used during the gradient evaluation.
+        Equal to ``X.T @ y``.
+
+    Note
+    ----
+    The class is jit compiled at fit time using Numba compiler.
+    This allows for faster computations.
+    """
+
+    def __init__(self, Xty, y_mean):
+        self.Xty = Xty
+        self.y_mean = y_mean
+
+    def get_spec(self):
+        spec = (
+            ('Xty', float64[:]),
+            ('y_mean', float64),
+        )
+        return spec
+
+    def params_to_dict(self):
+        return dict(Xty=self.Xty, y_mean=self.y_mean)
+
+    # def get_lipschitz(self, X, y):
+
+
+    #     lipschitz = np.zeros(n_features, dtype=X.dtype)
+    #     for j in range(n_features):
+    #         lipschitz[j] = (X[:, j] ** 2).sum() / len(y)
+
+    #     return lipschitz
+
+    # XXX TODO check without y? or pass y = np.zeros(n_samples)
+    # def get_lipschitz_sparse(self, X_data, X_indptr, X_indices, y):
+    #     n_features = len(X_indptr) - 1
+    #     lipschitz = np.zeros(n_features, dtype=X_data.dtype)
+
+    #     for j in range(n_features):
+    #         nrm2 = 0.
+    #         for idx in range(X_indptr[j], X_indptr[j + 1]):
+    #             nrm2 += X_data[idx] ** 2
+
+    #         lipschitz[j] = nrm2 / len(y)
+
+    #     return lipschitz
+
+    def initialize(self, X, y):
+        pass
+
+    def initialize_sparse(self, X_data, X_indptr, X_indices, y):
+        pass
+
+    # def get_global_lipschitz(self, X, y):
+    #     return norm(X, ord=2) ** 2 / len(y)
+
+    # def get_global_lipschitz_sparse(self, X_data, X_indptr, X_indices, y):
+    #     return spectral_norm(X_data, X_indptr, X_indices, len(y)) ** 2 / len(y)
+
+    def value(self, y, w, Xw):
+        return np.sum((Xw) ** 2) / (2 * len(Xw)) - w @ self.Xty / len(Xw)
+
+    # def gradient_scalar(self, X, y, w, Xw, j):
+    #     return (X[:, j] @ Xw - self.Xty[j]) / len(Xw)
+
+    # def gradient_scalar_sparse(self, X_data, X_indptr, X_indices, y, Xw, j):
+    #     XjTXw = 0.
+    #     for i in range(X_indptr[j], X_indptr[j+1]):
+    #         XjTXw += X_data[i] * Xw[X_indices[i]]
+    #     return (XjTXw - self.Xty[j]) / len(Xw)
+
+    # def full_grad_sparse(
+    #         self, X_data, X_indptr, X_indices, y, Xw):
+    #     n_features = X_indptr.shape[0] - 1
+    #     n_samples = y.shape[0]
+    #     grad = np.zeros(n_features, dtype=Xw.dtype)
+    #     for j in range(n_features):
+    #         XjTXw = 0.
+    #         for i in range(X_indptr[j], X_indptr[j + 1]):
+    #             XjTXw += X_data[i] * Xw[X_indices[i]]
+    #         grad[j] = (XjTXw - self.Xty[j]) / n_samples
+    #     return grad
+
+    def intercept_update_step(self, y, Xw):
+        return np.mean(Xw) - self.y_mean # MM TODO check
+
 
 @njit
 def sigmoid(x):

skglm/demo_censored.py

@@ -0,0 +1,24 @@
+import numpy as np
+
+
+from skglm.datafits import Quadratic, CensoredQuadratic
+from skglm.penalties import L1
+from skglm.solvers import AndersonCD
+from skglm.utils.jit_compilation import compiled_clone
+from skglm.utils.data import make_correlated_data
+
+X, y, _ = make_correlated_data(100, 150)
+
+pen = compiled_clone(L1(alpha=0))
+
+solver = AndersonCD(verbose=3, fit_intercept=True)
+df = Quadratic()
+df = compiled_clone(df)
+
+w = solver.solve(X, y, df, pen)[0]
+
+df2 = CensoredQuadratic(X.T @ y, y.mean())
+df2 = compiled_clone(df2)
+
+w2 = solver.solve(X, np.zeros(X.shape[0]), df2, pen)[0]
+np.testing.assert_allclose(w2, w)