Python implementation of elastic-net regularized generalized linear models¶

Pyglmnet is a Python library implementing generalized linear models (GLMs) with advanced regularization options. It provides a wide range of noise models (with paired canonical link functions) including gaussian, binomial, multinomial, poisson, and softplus. It supports a wide range of regularizers: ridge, lasso, elastic net, group lasso, and Tikhonov regularization.

A brief introduction to GLMs¶

Linear models are estimated as

$y = \beta_0 + X\beta + \epsilon$

The parameters $$\beta_0, \beta$$ are estimated using ordinary least squares, under the implicit assumption the $$y$$ is normally distributed.

Generalized linear models allow us to generalize this approach to point-wise nonlinearities $$q(.)$$ and a family of exponential distributions for $$y$$.

$y = q(\beta_0 + X\beta) + \epsilon$

Regularized GLMs are estimated by minimizing a loss function specified by the penalized negative log-likelihood. The elastic net penalty interpolates between L2 and L1 norm. Thus, we solve the following optimization problem:

$\min_{\beta_0, \beta} \frac{1}{N} \sum_{i = 1}^N \mathcal{L} (y_i, \beta_0 + \beta^T x_i) + \lambda [ \frac{1}{2}(1 - \alpha) \mathcal{P}_2 + \alpha \mathcal{P}_1 ]$

where $$\mathcal{P}_2$$ and $$\mathcal{P}_1$$ are the generalized L2 (Tikhonov) and generalized L1 (Group Lasso) penalties, given by:

$\begin{split}\mathcal{P}_2 & = & \|\Gamma \beta \|_2^2 \\ \mathcal{P}_1 & = & \sum_g \|\beta_{j,g}\|_2\end{split}$

where $$\Gamma$$ is the Tikhonov matrix: a square factorization of the inverse covariance matrix and $$\beta_{j,g}$$ is the $$j$$ th coefficient of group $$g$$.

Questions / Errors / Bugs¶

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