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README.md

Safe screening rules for the identification of zeros in the solution of the Slope problem

This repository contains numerical procedure to evaluate the solution of the SLOPE problem with / without safe screening [1]. More precisely, the SLOPE problem is defined as

\text{Find } \mathbf{x}^\star\in\underset{\mathbf{x}\in\mathbb{R}^n}{\arg\min}\; \frac{1}{2}\left\Vert \mathbf{y} - \mathbf{A}\mathbf{x} \right\Vert_2^2 + \lambda\sum_{k=1}^n \gamma_k\vert\mathbf{x}\vert_{[k]}

where

  • \mathbf{x}\in\mathbb{R}^m
    is the observation vector
  • \mathbf{A}\in\mathbb{R}^{m\times n}
    is the so-called dictionary
  • \lambda>0
    a (positive) scalar
  • \{\gamma_k\}_{k=1}^n
    a sequence of non-increasing nonnegative scalars such that
    \gamma_1=1
    ,
  • \vert\mathbf{x}\vert_{[k]}
    denotes the
    k
    th largest entry of
    \mathbf{x}
    in absolute value

[1] Clément Elvira, Cédric Herzet: “Safe rules for the identification of zeros in the solution of the Slope problem”, arXiv, septembre 2021; arXiv:1911.07508

The above paper contains theoretical results and several applications that can be reproduced with this toolbox.

This python toolbox is currently under development and is hosted on Gitlab. If you encounter a bug or something unexpected please let me know by raising an issue on the project page or by contacting me by mail.

Requirements

This toolbox works with python 3.5+.

Dependencies:

Install from sources

  1. Clone the repository
git clone https://gitlab-research.centralesupelec.fr/2020elvirac/slope-screening
  1. Enter the folder
cd slope-squeezing
  1. (Optional) Create a virtual environment and activate it
virtualenv venv -p python3
source venv/bin/activate
  1. Install the dependencies
pip install -r requirements.txt
  1. And execute setup.py 
pip install .

or

pip install -e .

if you want it editable.

Running the experiments

cd experiments/SIAM
python exp.py
python vizu.py

or

python python vizu.py --save

if you want to save the plot.

Licence

This software is distributed under the CeCILL Free Software Licence Agreement

Cite this work

If you use this package for your own work, please consider citing it with this piece of BibTeX:

@article{Elvira2019arxiv,
	Author = {Elvira, Cl\'ement and Herzet, C\'edric},
	Journal = {},
	Month = {},
	Pdf = {},
	Title = {Safe rules for the identification of zeros in the solution of the Slope problem},
	Year = {2021},
}