Coordinate Descent for SLOPE

This repository provides code to reproduce the experiments for the academic research paper Coordinate Descent for SLOPE.

This repository contains the following items:

• The code folder contains the code for the solvers, the results produces from our experiments, a few (smaller) experiments, as well as scripts to generate the figures in the paper experiments
• The tex folder contains the source code for the paper.
• The benchmark_slope folder is a submodule of the benchopt benchmark located at https://github.com/klopfe/benchmark_slope, which was used to run the main benchmarks in the paper.

Installation

First make sure that you have conda available on your computer. Installation instructions are available here.

Then, start by creating a conda environment within which the benchmarks should be run. Here, we also install two R packages that were used in one of the experiments.

conda create -n slopecd -c conda-forge -y \
  python=3.9 r=4.2 r-slope=0.4 r-glmnet=4.1
conda activate slopecd
pip install benchopt

After this, make sure that you have navigated to the root folder of the extracted archive. Then run

pip install code/

to install the python module slope.

Finally, to install the benchopt benchmark, run

benchopt install -y benchmark_slope/

Running the Experiments

Some experiments are available in code/expes and can be run simply by calling python expes/<experiment>, or Rscript expes/<experiment> where <experiment> is the name of one of the python or R files in the folder.

To re-run the main benchmarks from the paper, modify benchmark_slope/config.yml to include or exclude objectives, solvers, and datasets by commenting or uncommenting them. Then call

benchopt run benchmark_slope/ --config benchmark_slope/config.yml

to run the benchmark.

Results

The results used in the paper are stored in the code/results folder.

Figures

The figures can be re-created by calling the python scripts in code/scripts/figures.