Solver - add a wrapper for scipy L-BFGS solver

doc/api.rst

@@ -37,6 +37,7 @@ Penalties
    L0_5
    L1
    L1_plus_L2
+   L2
    L2_3
    MCPenalty
    WeightedL1
@@ -78,6 +79,7 @@ Solvers
    GramCD
    GroupBCD
    GroupProxNewton
+   LBFGS
    MultiTaskBCD
    ProxNewton
 

skglm/datafits/single_task.py

@@ -182,6 +182,9 @@ def value(self, y, w, Xw):
     def gradient_scalar(self, X, y, w, Xw, j):
         return (- X[:, j] @ (y * sigmoid(- y * Xw))) / len(y)
 
+    def gradient(self, X, y, Xw):
+        return X.T @ self.raw_grad(y, Xw)
+
     def full_grad_sparse(
             self, X_data, X_indptr, X_indices, y, Xw):
         n_features = X_indptr.shape[0] - 1

skglm/penalties/__init__.py

@@ -1,6 +1,6 @@
 from .base import BasePenalty
 from .separable import (
-    L1_plus_L2, L0_5, L1, L2_3, MCPenalty, SCAD, WeightedL1, IndicatorBox,
+    L1_plus_L2, L0_5, L1, L2, L2_3, MCPenalty, SCAD, WeightedL1, IndicatorBox,
     PositiveConstraint
 )
 from .block_separable import (
@@ -12,6 +12,6 @@
 
 __all__ = [
     BasePenalty,
-    L1_plus_L2, L0_5, L1, L2_3, MCPenalty, SCAD, WeightedL1, IndicatorBox,
+    L1_plus_L2, L0_5, L1, L2, L2_3, MCPenalty, SCAD, WeightedL1, IndicatorBox,
     PositiveConstraint, L2_05, L2_1, BlockMCPenalty, BlockSCAD, WeightedGroupL2, SLOPE
 ]

skglm/penalties/separable.py

@@ -557,3 +557,34 @@ def is_penalized(self, n_features):
     def generalized_support(self, w):
         """Return a mask with non-zero coefficients."""
         return w != 0
+
+
+class L2(BasePenalty):
+    r""":math:`ell_2` penalty.
+
+    The penalty reads
+
+    .. math::
+
+        \alpha / 2  ||w||_2^2
+    """
+
+    def __init__(self, alpha):
+        self.alpha = alpha
+
+    def get_spec(self):
+        spec = (
+            ('alpha', float64),
+        )
+        return spec
+
+    def params_to_dict(self):
+        return dict(alpha=self.alpha)
+
+    def value(self, w):
+        """Compute the value of the L2 penalty."""
+        return self.alpha * (w ** 2).sum() / 2
+
+    def gradient(self, w):
+        """Compute the gradient of the L2 penalty."""
+        return self.alpha * w

skglm/solvers/__init__.py

@@ -6,7 +6,8 @@
 from .multitask_bcd import MultiTaskBCD
 from .prox_newton import ProxNewton
 from .group_prox_newton import GroupProxNewton
+from .lbfgs import LBFGS
 
 
 __all__ = [AndersonCD, BaseSolver, FISTA, GramCD, GroupBCD, MultiTaskBCD, ProxNewton,
-           GroupProxNewton]
+           GroupProxNewton, LBFGS]

skglm/solvers/lbfgs.py

@@ -0,0 +1,92 @@
+import warnings
+from sklearn.exceptions import ConvergenceWarning
+
+import numpy as np
+import scipy.optimize
+from numpy.linalg import norm
+
+from skglm.solvers import BaseSolver
+
+
+class LBFGS(BaseSolver):
+    """A wrapper for scipy L-BFGS solver.
+
+    Refer to `scipy L-BFGS-B <https://docs.scipy.org/doc/scipy/reference/optimize.
+    minimize-lbfgsb.html#optimize-minimize-lbfgsb>`_ documentation for details.
+
+    Parameters
+    ----------
+    max_iter : int, default 20
+        Maximum number of iterations.
+
+    tol : float, default 1e-4
+        Tolerance for convergence.
+
+    verbose : bool, default False
+        Amount of verbosity. 0/False is silent.
+    """
+
+    def __init__(self, max_iter=50, tol=1e-4, verbose=False):
+        self.max_iter = max_iter
+        self.tol = tol
+        self.verbose = verbose
+
+    def solve(self, X, y, datafit, penalty, w_init=None, Xw_init=None):
+
+        def objective_function(w):
+            Xw = X @ w
+            datafit_value = datafit.value(y, w, Xw)
+            penalty_value = penalty.value(w)
+
+            return datafit_value + penalty_value
+
+        def jacobian_function(w):
+            Xw = X @ w
+            datafit_grad = datafit.gradient(X, y, Xw)
+            penalty_grad = penalty.gradient(w)
+
+            return datafit_grad + penalty_grad
+
+        def callback_post_iter(w_k):
+            # save p_obj
+            p_obj = objective_function(w_k)
+            p_objs_out.append(p_obj)
+
+            if self.verbose:
+                grad = jacobian_function(w_k)
+                stop_crit = norm(grad)
+
+                it = len(p_objs_out)
+                print(
+                    f"Iteration {it}: {p_obj:.10f}, "
+                    f"stopping crit: {stop_crit:.2e}"
+                )
+
+        n_features = X.shape[1]
+        w = np.zeros(n_features) if w_init is None else w_init
+        p_objs_out = []
+
+        result = scipy.optimize.minimize(
+            fun=objective_function,
+            jac=jacobian_function,
+            x0=w,
+            method="L-BFGS-B",
+            options=dict(
+                maxiter=self.max_iter,
+                gtol=self.tol
+            ),
+            callback=callback_post_iter,
+        )
+
+        if not result.success:
+            warnings.warn(
+                f"`LBFGS` did not converge for tol={self.tol:.3e} "
+                f"and max_iter={self.max_iter}.\n"
+                "Consider increasing `max_iter` and/or `tol`.",
+                category=ConvergenceWarning
+            )
+
+        w = result.x
+        stop_crit = norm(result.jac)
+
+        return w, np.asarray(p_objs_out), stop_crit

skglm/tests/test_lbfgs_solver.py

@@ -0,0 +1,40 @@
+import numpy as np
+
+from skglm.solvers import LBFGS
+from skglm.penalties import L2
+from skglm.datafits import Logistic
+
+from sklearn.linear_model import LogisticRegression
+
+from skglm.utils.data import make_correlated_data
+from skglm.utils.jit_compilation import compiled_clone
+
+
+def test_lbfgs_L2_logreg():
+    reg = 1.
+    n_samples, n_features = 50, 10
+
+    X, y, _ = make_correlated_data(
+        n_samples, n_features, random_state=0)
+    y = np.sign(y)
+
+    # fit L-BFGS
+    datafit = compiled_clone(Logistic())
+    penalty = compiled_clone(L2(reg))
+    w, *_ = LBFGS().solve(X, y, datafit, penalty)
+
+    # fit scikit learn
+    estimator = LogisticRegression(
+        penalty='l2',
+        C=1 / (n_samples * reg),
+        fit_intercept=False
+    )
+    estimator.fit(X, y)
+
+    np.testing.assert_allclose(
+        w, estimator.coef_.flatten(), atol=1e-4
+    )
+
+
+if __name__ == "__main__":
+    pass