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‎.github/workflows/flake8.yml

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name: linter
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on:
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push:
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branches:
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- 'main'
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pull_request:
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branches:
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- 'main'
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jobs:
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lint:
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name: Lint code base
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runs-on: ubuntu-latest
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steps:
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- name: Checkout code
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uses: actions/checkout@v2
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- name: Setup Python 3.8
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uses: actions/setup-python@v2
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with:
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python-version: 3.8
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- name: Lint with flake
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run: |
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pip install flake8
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flake8 skglm/ --exclude="skglm/expes/*","skglm/profile","*/toprof.py*" --max-line-length=88
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- name: Check doc style with pydocstyle
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run: |
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pip install pydocstyle
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pydocstyle skglm --ignore='D100',D102,'D104','D107','D203','D213','D413'

‎.github/workflows/main.yml

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name: pytest
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on:
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push:
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branches:
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- 'main'
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pull_request:
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jobs:
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test:
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name: Test Code
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v2
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- name: Set up Python 3.8
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uses: actions/setup-python@v2
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with:
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python-version: 3.8
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- name: Install dependencies
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run: |
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python -m pip install --upgrade pip
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pip install pytest
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pip install numpydoc
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pip install .
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- name: Test with pytest
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run: pytest -v skglm/

‎.gitignore

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/skglm.egg-info/*
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*.pyc
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/doc/_build/
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/doc/gen_modules/
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/doc/generated/
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/doc/auto_examples/

‎doc/Makefile

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# Makefile for Sphinx documentation
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#
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# You can set these variables from the command line.
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SPHINXOPTS =
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SPHINXBUILD = sphinx-build
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PAPER =
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BUILDDIR = _build
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GITHUB_PAGES_BRANCH = gh-pages
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OUTPUTDIR = _build/html
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# User-friendly check for sphinx-build
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ifeq ($(shell which $(SPHINXBUILD) >/dev/null 2>&1; echo $$?), 1)
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$(error The '$(SPHINXBUILD)' command was not found. Make sure you have Sphinx installed, then set the SPHINXBUILD environment variable to point to the full path of the '$(SPHINXBUILD)' executable. Alternatively you can add the directory with the executable to your PATH. If you don't have Sphinx installed, grab it from http://sphinx-doc.org/)
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endif
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# Internal variables.
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PAPEROPT_a4 = -D latex_paper_size=a4
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PAPEROPT_letter = -D latex_paper_size=letter
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ALLSPHINXOPTS = -d $(BUILDDIR)/doctrees $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) .
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# the i18n builder cannot share the environment and doctrees with the others
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I18NSPHINXOPTS = $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) .
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.PHONY: help
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help:
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@echo "Please use \`make <target>' where <target> is one of"
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@echo " html-noplot to make standalone HTML files, without plotting anything"
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@echo " html to make standalone HTML files"
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@echo " dirhtml to make HTML files named index.html in directories"
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@echo " singlehtml to make a single large HTML file"
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@echo " pickle to make pickle files"
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@echo " htmlhelp to make HTML files and a HTML help project"
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@echo " qthelp to make HTML files and a qthelp project"
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@echo " latex to make LaTeX files, you can set PAPER=a4 or PAPER=letter"
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@echo " latexpdf to make LaTeX files and run them through pdflatex"
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@echo " changes to make an overview of all changed/added/deprecated items"
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@echo " linkcheck to check all external links for integrity"
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@echo " doctest to run all doctests embedded in the documentation (if enabled)"
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@echo " coverage to run coverage check of the documentation (if enabled)"
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@echo " install to make the html and push it online"
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.PHONY: clean
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clean:
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rm -rf $(BUILDDIR)/*
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rm -rf auto_examples/
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rm -rf generated/*
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rm -rf modules/*
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html-noplot:
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$(SPHINXBUILD) -D plot_gallery=0 -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
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@echo
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@echo "Build finished. The HTML pages are in $(BUILDDIR)/html."
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.PHONY: html
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html:
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$(SPHINXBUILD) -b html $(ALLSPHINXOPTS) $(BUILDDIR)/html
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@echo
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@echo "Build finished. The HTML pages are in $(BUILDDIR)/html."
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.PHONY: dirhtml
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dirhtml:
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$(SPHINXBUILD) -b dirhtml $(ALLSPHINXOPTS) $(BUILDDIR)/dirhtml
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@echo
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@echo "Build finished. The HTML pages are in $(BUILDDIR)/dirhtml."
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.PHONY: singlehtml
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singlehtml:
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$(SPHINXBUILD) -b singlehtml $(ALLSPHINXOPTS) $(BUILDDIR)/singlehtml
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@echo
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@echo "Build finished. The HTML page is in $(BUILDDIR)/singlehtml."
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.PHONY: pickle
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pickle:
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$(SPHINXBUILD) -b pickle $(ALLSPHINXOPTS) $(BUILDDIR)/pickle
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@echo
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@echo "Build finished; now you can process the pickle files."
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.PHONY: htmlhelp
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htmlhelp:
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$(SPHINXBUILD) -b htmlhelp $(ALLSPHINXOPTS) $(BUILDDIR)/htmlhelp
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@echo
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@echo "Build finished; now you can run HTML Help Workshop with the" \
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".hhp project file in $(BUILDDIR)/htmlhelp."
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.PHONY: qthelp
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qthelp:
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$(SPHINXBUILD) -b qthelp $(ALLSPHINXOPTS) $(BUILDDIR)/qthelp
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@echo
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@echo "Build finished; now you can run "qcollectiongenerator" with the" \
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".qhcp project file in $(BUILDDIR)/qthelp, like this:"
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@echo "# qcollectiongenerator $(BUILDDIR)/qthelp/skglm.qhcp"
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@echo "To view the help file:"
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@echo "# assistant -collectionFile $(BUILDDIR)/qthelp/skglms.qhc"
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.PHONY: latex
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latex:
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$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
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@echo
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@echo "Build finished; the LaTeX files are in $(BUILDDIR)/latex."
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@echo "Run \`make' in that directory to run these through (pdf)latex" \
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"(use \`make latexpdf' here to do that automatically)."
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.PHONY: latexpdf
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latexpdf:
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$(SPHINXBUILD) -b latex $(ALLSPHINXOPTS) $(BUILDDIR)/latex
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@echo "Running LaTeX files through pdflatex..."
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$(MAKE) -C $(BUILDDIR)/latex all-pdf
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@echo "pdflatex finished; the PDF files are in $(BUILDDIR)/latex."
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.PHONY: changes
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changes:
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$(SPHINXBUILD) -b changes $(ALLSPHINXOPTS) $(BUILDDIR)/changes
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@echo
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@echo "The overview file is in $(BUILDDIR)/changes."
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.PHONY: linkcheck
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linkcheck:
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$(SPHINXBUILD) -b linkcheck $(ALLSPHINXOPTS) $(BUILDDIR)/linkcheck
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@echo
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@echo "Link check complete; look for any errors in the above output " \
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"or in $(BUILDDIR)/linkcheck/output.txt."
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.PHONY: doctest
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doctest:
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$(SPHINXBUILD) -b doctest $(ALLSPHINXOPTS) $(BUILDDIR)/doctest
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@echo "Testing of doctests in the sources finished, look at the " \
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"results in $(BUILDDIR)/doctest/output.txt."
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.PHONY: coverage
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coverage:
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$(SPHINXBUILD) -b coverage $(ALLSPHINXOPTS) $(BUILDDIR)/coverage
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@echo "Testing of coverage in the sources finished, look at the " \
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"results in $(BUILDDIR)/coverage/python.txt."
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install:
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touch $(OUTPUTDIR)/.nojekyll
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ghp-import -m "Generate Pelican site [ci skip]" -b $(GITHUB_PAGES_BRANCH) $(OUTPUTDIR)
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git push origin $(GITHUB_PAGES_BRANCH)

‎doc/add.rst

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:orphan:
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.. _how:
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With skglm, you can solve any custom Generalized Linear Model with arbitrary smooth datafit and arbitrary proximable penalty, by defining two classes: a ``Penalty`` and a ``Datafit``.
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How to add a custom penalty
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~~~~~~~~~~~~~~~~~~~~~~~~~~~
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A penalty is a jitclass which must inherit from the ``BasePenalty`` class:
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.. literalinclude:: ../skglm/penalties/base.py
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:pyobject: BasePenalty
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To implement your own penalty, you only need to define a new jitclass, inheriting from ``BasePenalty`` and define how its value, proximal operator, distance to subdifferential (for KKT violation) and penalized features are computed.
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For example, the implementation of the ``L1`` penalty is:
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.. literalinclude:: ../skglm/penalties/separable.py
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:pyobject: L1
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How to add a custom datafit
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~~~~~~~~~~~~~~~~~~~~~~~~~~~
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A ``Datafit`` is a jitclass which must inherit from the ``BaseDatafit`` class:
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.. literalinclude:: ../skglm/datafits/base.py
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:pyobject: BaseDatafit
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To define a custom datafit, you need to implement the methods declared in the ``BaseDatafit`` class (value, gradient, gradient when the design matrix is sparse).
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See for example the implementation of the ``Quadratic`` datafit:
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.. literalinclude:: ../skglm/datafits/single_task.py
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:pyobject: Quadratic

‎doc/api.rst

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.. _api_documentation:
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=================
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API Documentation
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=================
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.. currentmodule:: skglm
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Estimators
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==========
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.. currentmodule:: skglm
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.. autosummary::
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:toctree: generated/
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ElasticNet
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Lasso
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LinearSVC
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SparseLogisticRegression
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MCPRegression
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MultiTaskLasso
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WeightedLasso
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Penalties
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=========
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.. currentmodule:: skglm.penalties
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.. autosummary::
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:toctree: generated/
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IndicatorBox
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L0_5
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L1
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L1_plus_L2
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L2_3
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MCPenalty
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WeightedL1
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Datafits
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========
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.. currentmodule:: skglm.datafits
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.. autosummary::
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:toctree: generated/
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Logistic
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Quadratic
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QuadraticSVC
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