pyglmnet

Python bindings to glmnet base source

Organization

• src contains glmnet C++ code for the two main routines spwls_exp and wls_exp.
• tests contains test data from R so that we can verify we get the same results in python. Also contains some code for regenerating data using an instrumented version of glmnet.

Steps to build

• Assuming Xcode with command line tools is installed already.

• Also probably a good idee to test in a new virtual env

Create a new virtual env, say pyg.

conda create -n pyg python=3.10 -y
conda activate pyg

Install requirements

pip install -r requirements.txt

Specifying Eigen

By default, build assumes the top level directory contains a directory eigen with the Eigen headers. This can be achieved with

git clone https://github.com/libigl/eigen.git --depth 5

Alternatively, if you have Eigen installed elsewhere, set the environment variable EIGEN_LIBRARY_PATH to the appropriate path.

Build the package

pip install .

Load the module:

import glmnet.glmnetpp as gpp

This provides two functions:

• gpp.wls_exp for dense $x$
• gpp.spwls_exp for sparse $x$

Testing

Example invocations can be seen in tests/test_pyglmnet.py. So one can run all the tests via:

pytest tests

No error messages mean all is well.