Merge pull request #61 from tjjarvinen/mlj

MLJ extension

Project.toml

@@ -15,14 +15,22 @@ SharedArrays = "1a1011a3-84de-559e-8e89-a11a2f7dc383"
 StaticArrays = "90137ffa-7385-5640-81b9-e52037218182"
 
 [weakdeps]
+MLJ = "add582a8-e3ab-11e8-2d5e-e98b27df1bc7"
+MLJLinearModels = "6ee0df7b-362f-4a72-a706-9e79364fb692"
+MLJScikitLearnInterface = "5ae90465-5518-4432-b9d2-8a1def2f0cab"
 PythonCall = "6099a3de-0909-46bc-b1f4-468b9a2dfc0d"
 
 [extensions]
 ACEfit_PythonCall_ext = "PythonCall"
+ACEfit_MLJLinearModels_ext = [ "MLJ", "MLJLinearModels" ]
+ACEfit_MLJScikitLearnInterface_ext = ["MLJScikitLearnInterface", "PythonCall", "MLJ"]
 
 [compat]
 julia = "1.9"
 IterativeSolvers = "0.9.2"
+MLJ = "0.19"
+MLJLinearModels = "0.9"
+MLJScikitLearnInterface = "0.5"
 LowRankApprox = "0.5.3"
 Optim = "1.7"
 ParallelDataTransfer = "0.5.0"

docs/src/index.md

@@ -15,6 +15,35 @@ using ACEfit
 using PythonCall
 ```
 
+## MLJ solvers
+
+To use [MLJ](https://github.com/alan-turing-institute/MLJ.jl) solvers you need to load MLJ in addition to ACEfit
+
+```julia
+using ACEfit
+using MLJ
+```
+
+After that you need to load an appropriate MLJ solver. Take a look on available MLJ [solvers](https://alan-turing-institute.github.io/MLJ.jl/dev/model_browser/). Note that only [MLJScikitLearnInterface.jl](https://github.com/JuliaAI/MLJScikitLearnInterface.jl) and [MLJLinearModels.jl](https://github.com/JuliaAI/MLJLinearModels.jl) have extension available. To use other MLJ solvers please file an issue.
+
+You need to load the solver and then create a solver structure
+
+```julia
+# Load ARD solver
+ARDRegressor = @load ARDRegressor pkg=MLJScikitLearnInterface
+
+# Create the solver itself and give it parameters
+solver = ARDRegressor(
+    n_iter = 300,
+    tol = 1e-3,
+    threshold_lambda = 10000
+)
+```
+
+After this you can use the MLJ solver like any other solver.
+
+## Index
+
 ```@index
 ```
 

ext/ACEfit_MLJLinearModels_ext.jl

@@ -0,0 +1,53 @@
+module ACEfit_MLJLinearModels_ext
+
+using MLJ
+using ACEfit
+using MLJLinearModels
+
+"""
+    ACEfit.solve(solver, A, y)
+
+Overloads `ACEfit.solve` to use MLJLinearModels solvers,
+when `solver` is [MLJLinearModels](https://github.com/JuliaAI/MLJLinearModels.jl) solver.
+
+# Example
+```julia
+using MLJ
+using ACEfit
+
+# Load Lasso solver
+LassoRegressor = @load LassoRegressor pkg=MLJLinearModels
+
+# Create the solver itself and give it parameters
+solver = LassoRegressor(
+    lambda = 0.2,
+    fit_intercept = false
+    # insert more fit params
+)
+
+# fit ACE model
+linear_fit(training_data, basis, solver)
+
+# or lower level
+ACEfit.fit(solver, A, y)
+```
+"""
+function  ACEfit.solve(solver::Union{
+            MLJLinearModels.ElasticNetRegressor,
+            MLJLinearModels.HuberRegressor,
+            MLJLinearModels.LADRegressor,
+            MLJLinearModels.LassoRegressor,
+            MLJLinearModels.LinearRegressor,
+            MLJLinearModels.QuantileRegressor,
+            MLJLinearModels.RidgeRegressor,
+            MLJLinearModels.RobustRegressor,
+        },
+        A, y)
+    Atable = MLJ.table(A)
+    mach = machine(solver, Atable, y)
+    MLJ.fit!(mach)
+    params = fitted_params(mach)
+    return Dict{String, Any}("C" => map( x->x.second,  params.coefs) )
+end
+
+end

ext/ACEfit_MLJScikitLearnInterface_ext.jl

@@ -0,0 +1,46 @@
+module ACEfit_MLJScikitLearnInterface_ext
+
+using ACEfit
+using MLJ
+using MLJScikitLearnInterface
+using PythonCall
+
+
+"""
+    ACEfit.solve(solver, A, y)
+
+Overloads `ACEfit.solve` to use scikitlearn solvers from MLJ.
+
+# Example
+```julia
+using MLJ
+using ACEfit
+
+# Load ARD solver
+ARDRegressor = @load ARDRegressor pkg=MLJScikitLearnInterface
+
+# Create the solver itself and give it parameters
+solver = ARDRegressor(
+    n_iter = 300,
+    tol = 1e-3,
+    threshold_lambda = 10000
+    # more params
+)
+
+# fit ACE model
+linear_fit(training_data, basis, solver)
+
+# or lower level
+ACEfit.fit(solver, A, y)
+```
+"""
+function  ACEfit.solve(solver, A, y)
+    Atable = MLJ.table(A)
+    mach = machine(solver, Atable, y)
+    MLJ.fit!(mach)
+    params = fitted_params(mach)
+    c = params.coef
+    return Dict{String, Any}("C" => pyconvert(Array, c) )
+end
+
+end

src/solvers.jl

@@ -126,7 +126,10 @@ struct SKLEARN_BRR
     n_iter::Integer
 end
 
-SKLEARN_BRR(; tol = 1e-3, n_iter = 300) = SKLEARN_BRR(tol, n_iter)
+function SKLEARN_BRR(; tol = 1e-3, n_iter = 300)
+    @warn "SKLearn will transition to MLJ in future, please upgrade your script to reflect this."
+    SKLEARN_BRR(tol, n_iter)
+end
 
 # solve(solver::SKLEARN_BRR, ...) is implemented in ext/
 
@@ -140,6 +143,7 @@ struct SKLEARN_ARD
 end
 
 function SKLEARN_ARD(; n_iter = 300, tol = 1e-3, threshold_lambda = 10000)
+    @warn "SKLearn will transition to MLJ in future, please upgrade your script to reflect this."
     SKLEARN_ARD(n_iter, tol, threshold_lambda)
 end
 

test/Project.toml

@@ -1,4 +1,7 @@
 [deps]
 LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+MLJ = "add582a8-e3ab-11e8-2d5e-e98b27df1bc7"
+MLJLinearModels = "6ee0df7b-362f-4a72-a706-9e79364fb692"
+MLJScikitLearnInterface = "5ae90465-5518-4432-b9d2-8a1def2f0cab"
 PythonCall = "6099a3de-0909-46bc-b1f4-468b9a2dfc0d"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"

test/runtests.jl

@@ -7,4 +7,6 @@ using Test
     @testset "Bayesian Linear" begin include("test_bayesianlinear.jl") end
 
     @testset "Linear Solvers" begin include("test_linearsolvers.jl") end
+
+    @testset "MLJ Solvers" begin include("test_mlj.jl") end
 end

test/test_mlj.jl

@@ -0,0 +1,42 @@
+using ACEfit
+using LinearAlgebra
+using MLJ
+using MLJScikitLearnInterface
+
+@info("Test MLJ interface on overdetermined system")
+Nobs = 10_000
+Nfeat = 100
+A = randn(Nobs, Nfeat) / sqrt(Nobs)
+y = randn(Nobs)
+P = Diagonal(1.0 .+ rand(Nfeat))
+
+
+@info(" ... MLJLinearModels LinearRegressor")
+LinearRegressor = @load LinearRegressor pkg=MLJLinearModels
+solver = LinearRegressor()
+results = ACEfit.solve(solver, A, y)
+C = results["C"]
+@show norm(A * C - y)
+@show norm(C)
+
+
+@info(" ... MLJLinearModels LassoRegressor")
+LassoRegressor = @load LassoRegressor pkg=MLJLinearModels
+solver = LassoRegressor()
+results = ACEfit.solve(solver, A, y)
+C = results["C"]
+@show norm(A * C - y)
+@show norm(C)
+
+
+@info(" ... MLJ SKLearn ARD")
+ARDRegressor = @load ARDRegressor pkg=MLJScikitLearnInterface
+solver = ARDRegressor(
+    n_iter = 300,
+    tol = 1e-3,
+    threshold_lambda = 10000
+)
+results = ACEfit.solve(solver, A, y)
+C = results["C"]
+@show norm(A * C - y)
+@show norm(C)