https://github.com/benchopt/benchmark_slope
https://github.com/benchopt/benchmark_slope
Last synced: 12 months ago
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- Host: GitHub
- URL: https://github.com/benchopt/benchmark_slope
- Owner: benchopt
- Created: 2022-11-07T15:05:59.000Z (over 3 years ago)
- Default Branch: main
- Last Pushed: 2025-06-17T18:27:17.000Z (about 1 year ago)
- Last Synced: 2025-06-23T05:44:50.231Z (about 1 year ago)
- Language: Python
- Size: 54.7 KB
- Stars: 2
- Watchers: 3
- Forks: 5
- Open Issues: 4
-
Metadata Files:
- Readme: README.rst
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README
Benchmark repository for SLOPE
==============================
|Build Status| |Python 3.6+|
This repository is based on the work of Johan Larsson, Quentin Klopfenstein, Mathurin Massias and Jonas Wallin at https://github.com/Klopfe/benchmark_slope.
This repository is dedicated to regression with the Sorted L-One Penalized Estimation (SLOPE) estimator which consists in solving the following program:
$$ \\min_{\\beta} \\, \\tfrac{1}{2n} \\Vert y - X\\beta \\Vert^2_2 + J(\\beta, \\lambda) $$
where
$$ J(\\beta, \\lambda) = \\sum_{j=1}^p \\lambda_j \| \\beta_{(j)}\| $$
with $\\lambda_1 \\geq \\lambda_2 \\geq ... \\geq \\lambda_p$ and $\|\\beta_{(1)}\| \\geq \|\\beta_{(2)}\| \\geq ... \\geq \|\\beta_{(p)}\|$.
We note $n$ (or n_samples) the number of samples and $p$ (or n_features) the number of features.
We also have that $X\\in \\mathbb{R}^{n\\times p}$ and $y\\in \\mathbb{R}^n$.
Install
--------
This benchmark can be run using the following commands:
.. code-block::
$ pip install -U benchopt
$ git clone https://github.com/benchopt/benchmark_slope
$ benchopt install ./benchmark_slope
$ benchopt run ./benchmark_slope --config example_config
Apart from the problem, options can be passed to `benchopt run`, to restrict the benchmarks to some solvers or datasets, e.g.:
.. code-block::
$ benchopt run ./benchmark_slope -s PGD -d simulated --max-runs 10 --n-repetitions 5
Use `benchopt run -h` for more details about these options, or visit https://benchopt.github.io/cli.html.
.. |Build Status| image:: https://github.com/benchopt/benchmark_slope/workflows/Tests/badge.svg
:target: https://github.com/benchopt/benchmark_slope/actions
.. |Python 3.6+| image:: https://img.shields.io/badge/python-3.6%2B-blue
:target: https://www.python.org/downloads/release/python-360/