ENH - check datafit + penalty compatibility with solver

doc/changes/0.4.rst

@@ -4,6 +4,7 @@ Version 0.4 (in progress)
 -------------------------
 - Add :ref:`GroupLasso Estimator <skglm.GroupLasso>` (PR: :gh:`228`)
 - Add support and tutorial for positive coefficients to :ref:`Group Lasso Penalty <skglm.penalties.WeightedGroupL2>` (PR: :gh:`221`)
+- Check compatibility with datafit and penalty in solver (PR :gh:`137`)
 - Add support to weight samples in the quadratic datafit :ref:`Weighted Quadratic Datafit <skglm.datafit.WeightedQuadratic>` (PR: :gh:`258`)
 
 

skglm/__init__.py

@@ -1,4 +1,4 @@
-__version__ = '0.3.2dev'
+__version__ = '0.4dev'
 
 from skglm.estimators import (  # noqa F401
     Lasso, WeightedLasso, ElasticNet, MCPRegression, MultiTaskLasso, LinearSVC,

skglm/datafits/single_task.py

@@ -661,9 +661,6 @@ def value(self, y, w, Xw):
     def gradient_scalar(self, X, y, w, Xw, j):
         return X[:, j] @ (1 - y * np.exp(-Xw)) / len(y)
 
-    def gradient_scalar_sparse(self, X_data, X_indptr, X_indices, y, Xw, j):
-        pass
-
     def intercept_update_step(self, y, Xw):
         return np.sum(self.raw_grad(y, Xw))
 

skglm/experimental/pdcd_ws.py

@@ -5,11 +5,12 @@
 from scipy.sparse import issparse
 
 from numba import njit
-from skglm.utils.jit_compilation import compiled_clone
+from skglm.solvers import BaseSolver
+
 from sklearn.exceptions import ConvergenceWarning
 
 
-class PDCD_WS:
+class PDCD_WS(BaseSolver):
     r"""Primal-Dual Coordinate Descent solver with working sets.
 
     It solves
@@ -78,6 +79,9 @@ class PDCD_WS:
            https://arxiv.org/abs/2204.07826
     """
 
+    _datafit_required_attr = ('prox_conjugate',)
+    _penalty_required_attr = ("prox_1d",)
+
     def __init__(self, max_iter=1000, max_epochs=1000, dual_init=None,
                  p0=100, tol=1e-6, verbose=False):
         self.max_iter = max_iter
@@ -87,11 +91,7 @@ def __init__(self, max_iter=1000, max_epochs=1000, dual_init=None,
         self.tol = tol
         self.verbose = verbose
 
-    def solve(self, X, y, datafit_, penalty_, w_init=None, Xw_init=None):
-        if issparse(X):
-            raise ValueError("Sparse matrices are not yet support in PDCD_WS solver.")
-
-        datafit, penalty = PDCD_WS._validate_init(datafit_, penalty_)
+    def _solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
         n_samples, n_features = X.shape
 
         # init steps
@@ -196,27 +196,12 @@ def _solve_subproblem(y, X, w, Xw, z, z_bar, datafit, penalty,
                 if stop_crit_in <= tol_in:
                     break
 
-    @staticmethod
-    def _validate_init(datafit_, penalty_):
-        # validate datafit
-        missing_attrs = []
-        for attr in ('prox_conjugate', 'subdiff_distance'):
-            if not hasattr(datafit_, attr):
-                missing_attrs.append(f"`{attr}`")
-
-        if len(missing_attrs):
-            raise AttributeError(
-                "Datafit is not compatible with PDCD_WS solver.\n"
-                "Datafit must implement `prox_conjugate` and `subdiff_distance`.\n"
-                f"Missing {' and '.join(missing_attrs)}."
+    def custom_checks(self, X, y, datafit, penalty):
+        if issparse(X):
+            raise ValueError(
+                "Sparse matrices are not yet supported in `PDCD_WS` solver."
             )
 
-        # jit compile classes
-        compiled_datafit = compiled_clone(datafit_)
-        compiled_penalty = compiled_clone(penalty_)
-
-        return compiled_datafit, compiled_penalty
-
 
 @njit
 def _scores_primal(X, w, z, penalty, primal_steps, ws):

skglm/experimental/tests/test_quantile_regression.py

@@ -5,6 +5,7 @@
 from skglm.penalties import L1
 from skglm.experimental.pdcd_ws import PDCD_WS
 from skglm.experimental.quantile_regression import Pinball
+from skglm.utils.jit_compilation import compiled_clone
 
 from skglm.utils.data import make_correlated_data
 from sklearn.linear_model import QuantileRegressor
@@ -21,9 +22,12 @@ def test_PDCD_WS(quantile_level):
     alpha_max = norm(X.T @ (np.sign(y)/2 + (quantile_level - 0.5)), ord=np.inf)
     alpha = alpha_max / 5
 
+    datafit = compiled_clone(Pinball(quantile_level))
+    penalty = compiled_clone(L1(alpha))
+
     w = PDCD_WS(
         dual_init=np.sign(y)/2 + (quantile_level - 0.5)
-    ).solve(X, y, Pinball(quantile_level), L1(alpha))[0]
+    ).solve(X, y, datafit, penalty)[0]
 
     clf = QuantileRegressor(
         quantile=quantile_level,

skglm/experimental/tests/test_sqrt_lasso.py

@@ -7,6 +7,7 @@
 from skglm.experimental.sqrt_lasso import (SqrtLasso, SqrtQuadratic,
                                            _chambolle_pock_sqrt)
 from skglm.experimental.pdcd_ws import PDCD_WS
+from skglm.utils.jit_compilation import compiled_clone
 
 
 def test_alpha_max():
@@ -69,7 +70,10 @@ def test_PDCD_WS(with_dual_init):
 
     dual_init = y / norm(y) if with_dual_init else None
 
-    w = PDCD_WS(dual_init=dual_init).solve(X, y, SqrtQuadratic(), L1(alpha))[0]
+    datafit = compiled_clone(SqrtQuadratic())
+    penalty = compiled_clone(L1(alpha))
+
+    w = PDCD_WS(dual_init=dual_init).solve(X, y, datafit, penalty)[0]
     clf = SqrtLasso(alpha=alpha, tol=1e-12).fit(X, y)
     np.testing.assert_allclose(clf.coef_, w, atol=1e-6)
 

skglm/penalties/block_separable.py

@@ -458,17 +458,6 @@ def prox_1group(self, value, stepsize, g):
         res = ST_vec(value, self.alpha * stepsize * self.weights_features[g])
         return BST(res, self.alpha * stepsize * self.weights_groups[g])
 
-    def subdiff_distance(self, w, grad_ws, ws):
-        """Compute distance to the subdifferential at ``w`` of negative gradient.
-
-        Refer to :ref:`subdiff_positive_group_lasso` for details of the derivation.
-
-        Note:
-        ----
-        ``grad_ws`` is a stacked array of gradients ``[grad_ws_1, grad_ws_2, ...]``.
-        """
-        raise NotImplementedError("Too hard for now")
-
     def is_penalized(self, n_groups):
         return np.ones(n_groups, dtype=np.bool_)
 

skglm/penalties/non_separable.py

@@ -48,13 +48,3 @@ def prox_vec(self, x, stepsize):
         prox[sorted_indices] = prox_SLOPE(abs_x[sorted_indices], alphas * stepsize)
 
         return np.sign(x) * prox
-
-    def prox_1d(self, value, stepsize, j):
-        raise ValueError(
-            "No coordinate-wise proximal operator for SLOPE. Use `prox_vec` instead."
-        )
-
-    def subdiff_distance(self, w, grad, ws):
-        return ValueError(
-            "No subdifferential distance for SLOPE. Use `opt_strategy='fixpoint'`"
-        )

skglm/solvers/anderson_cd.py

@@ -7,6 +7,7 @@
 )
 from skglm.solvers.base import BaseSolver
 from skglm.utils.anderson import AndersonAcceleration
+from skglm.utils.validation import check_attrs
 
 
 class AndersonCD(BaseSolver):
@@ -47,6 +48,9 @@ class AndersonCD(BaseSolver):
            code: https://github.com/mathurinm/andersoncd
     """
 
+    _datafit_required_attr = ("get_lipschitz", "gradient_scalar")
+    _penalty_required_attr = ("prox_1d",)
+
     def __init__(self, max_iter=50, max_epochs=50_000, p0=10,
                  tol=1e-4, ws_strategy="subdiff", fit_intercept=True,
                  warm_start=False, verbose=0):
@@ -59,7 +63,7 @@ def __init__(self, max_iter=50, max_epochs=50_000, p0=10,
         self.warm_start = warm_start
         self.verbose = verbose
 
-    def solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
+    def _solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
         if self.ws_strategy not in ("subdiff", "fixpoint"):
             raise ValueError(
                 'Unsupported value for self.ws_strategy:', self.ws_strategy)
@@ -269,6 +273,21 @@ def path(self, X, y, datafit, penalty, alphas=None, w_init=None,
             results += (n_iters,)
         return results
 
+    def custom_checks(self, X, y, datafit, penalty):
+        # check datafit support sparse data
+        check_attrs(
+            datafit, solver=self,
+            required_attr=self._datafit_required_attr,
+            support_sparse=sparse.issparse(X)
+        )
+
+        # ws strategy
+        if self.ws_strategy == "subdiff" and not hasattr(penalty, "subdiff_distance"):
+            raise AttributeError(
+                "Penalty must implement `subdiff_distance` "
+                "to use ws_strategy='subdiff' in solver AndersonCD."
+            )
+
 
 @njit
 def _cd_epoch(X, y, w, Xw, lc, datafit, penalty, ws):

skglm/solvers/base.py

@@ -1,11 +1,38 @@
-from abc import abstractmethod
+from abc import abstractmethod, ABC
+from skglm.utils.validation import check_attrs
 
 
-class BaseSolver():
-    """Base class for solvers."""
+class BaseSolver(ABC):
+    """Base class for solvers.
+
+    Attributes
+    ----------
+    _datafit_required_attr : list
+        List of attributes that must be implemented in Datafit.
+
+    _penalty_required_attr : list
+        List of attributes that must be implemented in Penalty.
+
+    Notes
+    -----
+    For required attributes, if an attribute is given as a list of attributes
+    it means at least one of them should be implemented.
+    For instance, if
+
+        _datafit_required_attr = (
+            "get_global_lipschitz",
+            ("gradient", "gradient_scalar")
+        )
+
+    it mean datafit must implement the methods ``get_global_lipschitz``
+    and (``gradient`` or ``gradient_scaler``).
+    """
+
+    _datafit_required_attr: list
+    _penalty_required_attr: list
 
     @abstractmethod
-    def solve(self, X, y, datafit, penalty, w_init, Xw_init):
+    def _solve(self, X, y, datafit, penalty, w_init, Xw_init):
         """Solve an optimization problem.
 
         Parameters
@@ -39,3 +66,51 @@ def solve(self, X, y, datafit, penalty, w_init, Xw_init):
         stop_crit : float
             Value of stopping criterion at convergence.
         """
+
+    def custom_checks(self, X, y, datafit, penalty):
+        """Ensure the solver is suited for the `datafit` + `penalty` problem.
+
+        This method includes extra checks to perform
+        aside from checking attributes compatibility.
+
+        Parameters
+        ----------
+        X : array, shape (n_samples, n_features)
+            Training data.
+
+        y : array, shape (n_samples,)
+            Target values.
+
+        datafit : instance of BaseDatafit
+            Datafit.
+
+        penalty : instance of BasePenalty
+            Penalty.
+        """
+        pass
+
+    def solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None,
+              *, run_checks=True):
+        """Solve the optimization problem after validating its compatibility.
+
+        A proxy of ``_solve`` method that implicitly ensures the compatibility
+        of ``datafit`` and ``penalty`` with the solver.
+
+        Examples
+        --------
+        >>> ...
+        >>> coefs, obj_out, stop_crit = solver.solve(X, y, datafit, penalty)
+        """
+        if run_checks:
+            self._validate(X, y, datafit, penalty)
+
+        return self._solve(X, y, datafit, penalty, w_init, Xw_init)
+
+    def _validate(self, X, y, datafit, penalty):
+        # execute: `custom_checks` then check attributes
+        self.custom_checks(X, y, datafit, penalty)
+
+        # do not check for sparse support here, make the check at the solver level
+        # some solvers like ProxNewton don't require methods for sparse support
+        check_attrs(datafit, self, self._datafit_required_attr)
+        check_attrs(penalty, self, self._penalty_required_attr)

skglm/solvers/fista.py

@@ -3,6 +3,7 @@
 from skglm.solvers.base import BaseSolver
 from skglm.solvers.common import construct_grad, construct_grad_sparse
 from skglm.utils.prox_funcs import _prox_vec
+from skglm.utils.validation import check_attrs
 
 
 class FISTA(BaseSolver):
@@ -27,6 +28,9 @@ class FISTA(BaseSolver):
            https://epubs.siam.org/doi/10.1137/080716542
     """
 
+    _datafit_required_attr = ("get_global_lipschitz", ("gradient", "gradient_scalar"))
+    _penalty_required_attr = (("prox_1d", "prox_vec"),)
+
     def __init__(self, max_iter=100, tol=1e-4, opt_strategy="subdiff", verbose=0):
         self.max_iter = max_iter
         self.tol = tol
@@ -35,7 +39,7 @@ def __init__(self, max_iter=100, tol=1e-4, opt_strategy="subdiff", verbose=0):
         self.fit_intercept = False   # needed to be passed to GeneralizedLinearEstimator
         self.warm_start = False
 
-    def solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
+    def _solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
         p_objs_out = []
         n_samples, n_features = X.shape
         all_features = np.arange(n_features)
@@ -46,19 +50,12 @@ def solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
         z = w_init.copy() if w_init is not None else np.zeros(n_features)
         Xw = Xw_init.copy() if Xw_init is not None else np.zeros(n_samples)
 
-        try:
-            if X_is_sparse:
-                lipschitz = datafit.get_global_lipschitz_sparse(
-                    X.data, X.indptr, X.indices, y
-                )
-            else:
-                lipschitz = datafit.get_global_lipschitz(X, y)
-        except AttributeError as e:
-            sparse_suffix = '_sparse' if X_is_sparse else ''
-
-            raise Exception(
-                "Datafit is not compatible with FISTA solver.\n Datafit must "
-                f"implement `get_global_lipschitz{sparse_suffix}` method") from e
+        if X_is_sparse:
+            lipschitz = datafit.get_global_lipschitz_sparse(
+                X.data, X.indptr, X.indices, y
+            )
+        else:
+            lipschitz = datafit.get_global_lipschitz(X, y)
 
         for n_iter in range(self.max_iter):
             t_old = t_new
@@ -111,3 +108,18 @@ def solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
                     print(f"Stopping criterion max violation: {stop_crit:.2e}")
                 break
         return w, np.array(p_objs_out), stop_crit
+
+    def custom_checks(self, X, y, datafit, penalty):
+        # check datafit support sparse data
+        check_attrs(
+            datafit, solver=self,
+            required_attr=self._datafit_required_attr,
+            support_sparse=issparse(X)
+        )
+
+        # optimality check
+        if self.opt_strategy == "subdiff" and not hasattr(penalty, "subdiff_distance"):
+            raise AttributeError(
+                "Penalty must implement `subdiff_distance` "
+                "to use `opt_strategy='subdiff'` in Fista solver."
+            )