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ENETS (Elastic Nets in Scala)

Simple framework for running generalized linear models or robust linear models with elastic net regularization in scala. Optimization is completed via coordinate descent as laid out in Regularization Paths for Generalized Linear Models via Coordinate Descent

Families

Via GlmNet class you can run the following generalized linear models with elastic net regularization:

  • Gaussian with identity link
  • Poisson with log link
  • Binomial with logit link
  • Negative Binomial with log link

Robust Norms

Via RlmNet class, you can run a robust linear model with elastic net regularization with one of the following robust norms.

Availabe robust norms include

  • Least Squares - default norm
  • Huber T
  • Ramsey E
  • Tukey Biweight
  • Cauchy
  • Trimmed Mean
  • Approximate Huber (smooth)
  • L1

The robust norms are based on the implementation in statsmodels for Python.

Requirements

Breeze.

SBT

Usage

import breeze.linalg.{DenseVector,DenseMatrix}
import breeze.stats.distributions.{Gaussian, Poisson,Binomial}
import com.github.timsetsfire.enets._
import com.github.timsetsfire.enets.robust.norms._
val x = DenseMatrix.rand(100,50,Gaussian(0,4))
val y = DenseVector.rand(100,Gaussian(0,4))
val g = DenseVector.rand(100,Binomial(1,0.3)).map{_.toDouble}
// logistic regression
val lr = new GlmNet(x,g,family="binomial",link="logit")
lr.fit
lr.plotCoordinatePath  // Don't use this when x.cols >>  It takes forever!
// linear regression
val linreg = new GlmNet(x,y) // or new RlmNet(x,y)
linreg.fit
// huber regression
val hr = new RlmNet(x,y,rnorm=HuberT())
hr.fit

If you want to be able to use this in jupyter-scala notebooks, change the scala version in build.sbt to 2.11.x and run

sbt package

Then from jupyter notebook

classpath.addPath("$PATH/enets/target/scala-2.11/enets_2.11-1.0.jar")

and

classpath.add("org.scalanlp" %% "breeze" % "0.13.2", "org.scalanlp" %% "breeze-natives" % "0.13.2", "org.scalanlp" %% "breeze-viz" % "0.13.2")

See the usage notebook in the notebooks folder.