logistic_SCAD_MCP_np.memmap_MODULE.ipynb

{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Set up the class fundementals "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-08-09T22:25:08.945024Z",
     "start_time": "2022-08-09T22:25:08.747081Z"
    }
   },
   "outputs": [],
   "source": [
    "import warnings\n",
    "\n",
    "warnings.filterwarnings('ignore')\n",
    "# import os, sys\n",
    "# import collections\n",
    "import numpy as _np\n",
    "# import matplotlib.markers as markers\n",
    "# import matplotlib.pyplot as plt\n",
    "# import timeit\n",
    "# import collections\n",
    "# from scipy.linalg import toeplitz, block_diag\n",
    "# from scipy.stats import median_abs_deviation as mad\n",
    "# import multiprocessing\n",
    "# import cProfile\n",
    "# import itertools\n",
    "from numba import jit as _jit\n",
    "from numba import njit as _njit\n",
    "# import warnings\n",
    "# warnings.filterwarnings('ignore') # this is just to hide all the warnings\n",
    "# import rpy2.robjects as robjects\n",
    "# import matplotlib.pyplot as plt # change font globally to Times\n",
    "# plt.style.use('ggplot')\n",
    "# plt.rcParams.update({\n",
    "#     \"text.usetex\": True,\n",
    "#     \"font.family\": \"Times New Roman\",\n",
    "#     \"font.sans-serif\": [\"Times New Roman\"],\n",
    "#     \"font.size\": 12})\n",
    "\n",
    "# os.chdir(sys.path[0]) # ensure working direcotry is set same as the file"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-08-09T22:25:09.111607Z",
     "start_time": "2022-08-09T22:25:08.946869Z"
    }
   },
   "outputs": [],
   "source": [
    "######################################  some SCAD and MCP things  #######################################\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def soft_thresholding(x, lambda_):\n",
    "    '''\n",
    "    To calculate soft-thresholding mapping of a given ONE-DIMENSIONAL tensor, BESIDES THE FIRST TERM (so beta_0 will not be penalized). \n",
    "    This function is to be used for calculation involving L1 penalty term later. \n",
    "    '''\n",
    "    return _np.hstack((_np.array([x[0]]),\n",
    "                       _np.where(\n",
    "                           _np.abs(x[1:]) > lambda_,\n",
    "                           x[1:] - _np.sign(x[1:]) * lambda_, 0)))\n",
    "\n",
    "\n",
    "soft_thresholding(_np.random.rand(20), 3.1)\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def SCAD(x, lambda_, a=3.7):\n",
    "    '''\n",
    "    To calculate SCAD penalty value;\n",
    "    #x can be a multi-dimensional tensor;\n",
    "    lambda_, a are scalars;\n",
    "    Fan and Li suggests to take a as 3.7 \n",
    "    '''\n",
    "    # here I notice the function is de facto a function of absolute value of x, therefore take absolute value first to simplify calculation\n",
    "    x = _np.abs(x)\n",
    "    temp = _np.where(\n",
    "        x <= lambda_, lambda_ * x,\n",
    "        _np.where(x < a * lambda_,\n",
    "                  (2 * a * lambda_ * x - x**2 - lambda_**2) / (2 * (a - 1)),\n",
    "                  lambda_**2 * (a + 1) / 2))\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def SCAD_grad(x, lambda_, a=3.7):\n",
    "    '''\n",
    "    To calculate the gradient of SCAD wrt. input x; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    # here decompose x to sign and its absolute value for easier calculation\n",
    "    sgn = _np.sign(x)\n",
    "    x = _np.abs(x)\n",
    "    temp = _np.where(\n",
    "        x <= lambda_, lambda_ * sgn,\n",
    "        _np.where(x < a * lambda_, (a * lambda_ * sgn - sgn * x) / (a - 1), 0))\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def MCP(x, lambda_, gamma):\n",
    "    '''\n",
    "    To calculate MCP penalty value; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    # the function is a function of absolute value of x\n",
    "    x = _np.abs(x)\n",
    "    temp = _np.where(x <= gamma * lambda_, lambda_ * x - x**2 / (2 * gamma),\n",
    "                     .5 * gamma * lambda_**2)\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def MCP_grad(x, lambda_, gamma):\n",
    "    '''\n",
    "    To calculate MCP gradient wrt. input x; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    temp = _np.where(\n",
    "        _np.abs(x) < gamma * lambda_,\n",
    "        lambda_ * _np.sign(x) - x / gamma, _np.zeros_like(x))\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def SCAD_concave(x, lambda_, a=3.7):\n",
    "    '''\n",
    "    The value of concave part of SCAD penalty; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    x = _np.abs(x)\n",
    "    temp = _np.where(\n",
    "        x <= lambda_, 0.,\n",
    "        _np.where(x < a * lambda_,\n",
    "                  (lambda_ * x - (x**2 + lambda_**2) / 2) / (a - 1),\n",
    "                  (a + 1) / 2 * lambda_**2 - lambda_ * x))\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def SCAD_concave_grad(x, lambda_, a=3.7):\n",
    "    '''\n",
    "    The gradient of concave part of SCAD penalty wrt. input x; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    sgn = _np.sign(x)\n",
    "    x = _np.abs(x)\n",
    "    temp = _np.where(\n",
    "        x <= lambda_, 0.,\n",
    "        _np.where(x < a * lambda_, (lambda_ * sgn - sgn * x) / (a - 1),\n",
    "                  -lambda_ * sgn))\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def MCP_concave(x, lambda_, gamma):\n",
    "    '''\n",
    "    The value of concave part of MCP penalty; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    # similiar as in MCP\n",
    "    x = _np.abs(x)\n",
    "    temp = _np.where(x <= gamma * lambda_, -(x**2) / (2 * gamma),\n",
    "                     (gamma * lambda_**2) / 2 - lambda_ * x)\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp\n",
    "\n",
    "\n",
    "@_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def MCP_concave_grad(x, lambda_, gamma):\n",
    "    '''\n",
    "    The gradient of concave part of MCP penalty wrt. input x; \n",
    "    #x can be a multi-dimensional tensor. \n",
    "    '''\n",
    "    temp = _np.where(\n",
    "        _np.abs(x) < gamma * lambda_, -x / gamma, -lambda_ * _np.sign(x))\n",
    "    temp[0] = 0.  # this is to NOT penalize intercept beta later\n",
    "    return temp"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Implementation"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-08-09T22:25:09.138010Z",
     "start_time": "2022-08-09T22:25:09.112866Z"
    }
   },
   "outputs": [],
   "source": [
    "# @_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def _memmap_update_smooth_grad_convex_logistic(N, p, X, beta_md, y, _dtype,\n",
    "                                               _order):\n",
    "    '''\n",
    "    Update the gradient of the smooth convex objective component.\n",
    "    '''\n",
    "    _itemsize = _np.dtype(_dtype).itemsize\n",
    "    # first calcualte _=X@beta_md-y\n",
    "    _ = _np.zeros(N)\n",
    "    if _order == \"F\":\n",
    "        for j in _np.arange(p):\n",
    "            _X = _np.memmap(X,\n",
    "                            dtype=_dtype,\n",
    "                            mode='r',\n",
    "                            offset=j * _itemsize * N,\n",
    "                            shape=(N, ))\n",
    "            _ += _X * beta_md[j]\n",
    "    elif _order == \"C\":\n",
    "        for j in _np.arange(N):\n",
    "            _X = _np.memmap(X,\n",
    "                            dtype=_dtype,\n",
    "                            mode='r',\n",
    "                            offset=j * _itemsize * p,\n",
    "                            shape=(p, ))\n",
    "            _[j] = _X @ beta_md\n",
    "    _ = _np.tanh(_ / 2.) / 2. - y + .5\n",
    "    # then calculate output\n",
    "    _XTXbeta = _np.zeros(p)\n",
    "    if _order == \"F\":\n",
    "        for j in _np.arange(p):\n",
    "            _X = _np.memmap(X,\n",
    "                            dtype=_dtype,\n",
    "                            mode='r',\n",
    "                            offset=j * _itemsize * N,\n",
    "                            shape=(N, ))\n",
    "            _XTXbeta[j] = _X @ _\n",
    "    elif _order == \"C\":\n",
    "        for j in _np.arange(N):\n",
    "            _X = _np.memmap(X,\n",
    "                            dtype=_dtype,\n",
    "                            mode='r',\n",
    "                            offset=j * _itemsize * p,\n",
    "                            shape=(p, ))\n",
    "            _XTXbeta += _X * _[j]\n",
    "    del _\n",
    "    return _XTXbeta / (2. * N)\n",
    "\n",
    "\n",
    "# @_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def _memmap_update_smooth_grad_SCAD_logistic(N, p, X, beta_md, y, _lambda, a,\n",
    "                                             _dtype, _order):\n",
    "    '''\n",
    "    Update the gradient of the smooth objective component for SCAD penalty.\n",
    "    '''\n",
    "    return _memmap_update_smooth_grad_convex_logistic(\n",
    "        N=N, p=p, X=X, beta_md=beta_md, y=y, _dtype=_dtype,\n",
    "        _order=_order) + SCAD_concave_grad(x=beta_md, lambda_=_lambda, a=a)\n",
    "\n",
    "\n",
    "# @_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def _memmap_update_smooth_grad_MCP_logistic(N, p, X, beta_md, y, _lambda,\n",
    "                                            gamma, _dtype, _order):\n",
    "    '''\n",
    "    Update the gradient of the smooth objective component for MCP penalty.\n",
    "    '''\n",
    "    return _memmap_update_smooth_grad_convex_logistic(\n",
    "        N=N, p=p, X=X, beta_md=beta_md, y=y, _dtype=_dtype,\n",
    "        _order=_order) + MCP_concave_grad(\n",
    "            x=beta_md, lambda_=_lambda, gamma=gamma)\n",
    "\n",
    "\n",
    "# @_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def memmap_lambda_max_logistic(X, y, N, p, _dtype, _order):\n",
    "    \"\"\"\n",
    "    Calculate the lambda_max, i.e., the minimum lambda to nullify all penalized betas.\n",
    "    \"\"\"\n",
    "    #     X_temp = X.copy()\n",
    "    #     X_temp = X_temp[:,1:]\n",
    "    #     X_temp -= _np.mean(X_temp,0).reshape(1,-1)\n",
    "    #     X_temp /= _np.std(X_temp,0)\n",
    "    #     y_temp = y.copy()\n",
    "    #     y_temp -= _np.mean(y)\n",
    "    #     y_temp /= _np.std(y)\n",
    "\n",
    "    grad_at_0 = _memmap_update_smooth_grad_convex_logistic(\n",
    "        N=N, p=p, X=X, beta_md=_np.zeros(p), y=y, _dtype=_dtype, _order=_order)\n",
    "    lambda_max = _np.linalg.norm(grad_at_0[1:], ord=_np.infty)\n",
    "    return lambda_max\n",
    "\n",
    "\n",
    "# @_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def memmap_UAG_logistic_SCAD_MCP(design_matrix,\n",
    "                                 outcome,\n",
    "                                 N,\n",
    "                                 p,\n",
    "                                 L_convex,\n",
    "                                 _dtype,\n",
    "                                 _order,\n",
    "                                 beta_0=_np.ones(1),\n",
    "                                 tol=1e-2,\n",
    "                                 maxit=500,\n",
    "                                 _lambda=.5,\n",
    "                                 penalty=\"SCAD\",\n",
    "                                 a=3.7,\n",
    "                                 gamma=2.):\n",
    "    '''\n",
    "    Carry out the optimization for penalized logistic for a fixed lambda.\n",
    "    '''\n",
    "    X = design_matrix\n",
    "    y = outcome\n",
    "    _itemsize = _np.dtype(_dtype).itemsize\n",
    "    if _np.all(beta_0 == _np.ones(1)):\n",
    "        _ = _np.zeros(p)\n",
    "        if _order == \"F\":\n",
    "            for j in _np.arange(p):\n",
    "                _X = _np.memmap(X,\n",
    "                                dtype=_dtype,\n",
    "                                mode='r',\n",
    "                                offset=j * _itemsize * N,\n",
    "                                shape=(N, ))\n",
    "                _[j] = _X @ y / _np.var(_X) / len(y)\n",
    "        elif _order == \"C\":\n",
    "            for j in _np.arange(N):\n",
    "                _X = _np.memmap(X,\n",
    "                                dtype=_dtype,\n",
    "                                mode='r',\n",
    "                                offset=j * _itemsize * p,\n",
    "                                shape=(p, ))\n",
    "                _ += _X * y[j]\n",
    "        beta = _\n",
    "    else:\n",
    "        beta = beta_0\n",
    "    # passing other parameters\n",
    "    smooth_grad = _np.ones(p)\n",
    "    beta_ag = beta.copy()\n",
    "    beta_md = beta.copy()\n",
    "    k = 0\n",
    "    converged = False\n",
    "    opt_alpha = 1.\n",
    "    old_speed_norm = 1.\n",
    "    speed_norm = 1.\n",
    "    restart_k = 0\n",
    "\n",
    "    if penalty == \"SCAD\":\n",
    "        #         L = _np.max(_np.array([L_convex, 1./(a-1)]))\n",
    "        L = _np.linalg.norm(_np.array([L_convex, 1. / (a - 1)]), ord=_np.infty)\n",
    "        opt_beta = .99 / L\n",
    "        while ((not converged) or (k < 3)) and k <= maxit:\n",
    "            k += 1\n",
    "            if old_speed_norm > speed_norm and k - restart_k >= 3:  # in this case, restart\n",
    "                opt_alpha = 1.  # restarting\n",
    "                restart_k = k  # restarting\n",
    "            else:  # restarting\n",
    "                opt_alpha = 2 / (\n",
    "                    1 + (1 + 4. / opt_alpha**2)**.5\n",
    "                )  #parameter settings based on minimizing Ghadimi and Lan's rate of convergence error upper bound\n",
    "            opt_lambda = opt_beta / opt_alpha  #parameter settings based on minimizing Ghadimi and Lan's rate of convergence error upper bound\n",
    "            beta_md_old = beta_md.copy()  # restarting\n",
    "            beta_md = (1 - opt_alpha) * beta_ag + opt_alpha * beta\n",
    "            old_speed_norm = speed_norm  # restarting\n",
    "            speed_norm = _np.linalg.norm(beta_md - beta_md_old,\n",
    "                                         ord=2)  # restarting\n",
    "            converged = (_np.linalg.norm(beta_md - beta_md_old, ord=_np.infty)\n",
    "                         < tol)\n",
    "            smooth_grad = _memmap_update_smooth_grad_SCAD_logistic(\n",
    "                N=N,\n",
    "                p=p,\n",
    "                X=X,\n",
    "                beta_md=beta_md,\n",
    "                y=y,\n",
    "                _lambda=_lambda,\n",
    "                a=a,\n",
    "                _dtype=_dtype,\n",
    "                _order=_order)\n",
    "            beta = soft_thresholding(x=beta - opt_lambda * smooth_grad,\n",
    "                                     lambda_=opt_lambda * _lambda)\n",
    "            beta_ag = soft_thresholding(x=beta_md - opt_beta * smooth_grad,\n",
    "                                        lambda_=opt_beta * _lambda)\n",
    "#             converged = _np.all(_np.max(_np.abs(beta_md - beta_ag)/opt_beta) < tol).item()\n",
    "#             converged = (_np.linalg.norm(beta_md - beta_ag, ord=_np.infty) < (tol*opt_beta))\n",
    "    else:\n",
    "        #         L = _np.max(_np.array([L_convex, 1./(gamma)]))\n",
    "        L = _np.linalg.norm(_np.array([L_convex, 1. / (gamma)]), ord=_np.infty)\n",
    "        opt_beta = .99 / L\n",
    "        while ((not converged) or (k < 3)) and k <= maxit:\n",
    "            k += 1\n",
    "            if old_speed_norm > speed_norm and k - restart_k >= 3:  # in this case, restart\n",
    "                opt_alpha = 1.  # restarting\n",
    "                restart_k = k  # restarting\n",
    "            else:  # restarting\n",
    "                opt_alpha = 2 / (\n",
    "                    1 + (1 + 4. / opt_alpha**2)**.5\n",
    "                )  #parameter settings based on minimizing Ghadimi and Lan's rate of convergence error upper bound\n",
    "            opt_lambda = opt_beta / opt_alpha  #parameter settings based on minimizing Ghadimi and Lan's rate of convergence error upper bound\n",
    "            beta_md_old = beta_md.copy()  # restarting\n",
    "            beta_md = (1 - opt_alpha) * beta_ag + opt_alpha * beta\n",
    "            old_speed_norm = speed_norm  # restarting\n",
    "            speed_norm = _np.linalg.norm(beta_md - beta_md_old,\n",
    "                                         ord=2)  # restarting\n",
    "            converged = (_np.linalg.norm(beta_md - beta_md_old, ord=_np.infty)\n",
    "                         < tol)\n",
    "            smooth_grad = _memmap_update_smooth_grad_MCP_logistic(\n",
    "                N=N,\n",
    "                p=p,\n",
    "                X=X,\n",
    "                beta_md=beta_md,\n",
    "                y=y,\n",
    "                _lambda=_lambda,\n",
    "                gamma=gamma,\n",
    "                _dtype=_dtype,\n",
    "                _order=_order)\n",
    "            beta = soft_thresholding(x=beta - opt_lambda * smooth_grad,\n",
    "                                     lambda_=opt_lambda * _lambda)\n",
    "            beta_ag = soft_thresholding(x=beta_md - opt_beta * smooth_grad,\n",
    "                                        lambda_=opt_beta * _lambda)\n",
    "#             converged = _np.all(_np.max(_np.abs(beta_md - beta_ag)/opt_beta) < tol).item()\n",
    "#             converged = (_np.linalg.norm(beta_md - beta_ag, ord=_np.infty) < (tol*opt_beta))\n",
    "    return k, beta_md\n",
    "\n",
    "\n",
    "# @_jit(nopython=True, cache=True, parallel=True, fastmath=True, nogil=True)\n",
    "def memmap_solution_path_logistic(design_matrix,\n",
    "                                  outcome,\n",
    "                                  lambda_,\n",
    "                                  L_convex,\n",
    "                                  N,\n",
    "                                  p,\n",
    "                                  beta_0=_np.ones(1),\n",
    "                                  tol=1e-2,\n",
    "                                  maxit=500,\n",
    "                                  penalty=\"SCAD\",\n",
    "                                  a=3.7,\n",
    "                                  gamma=2.,\n",
    "                                  _dtype='float32',\n",
    "                                  _order=\"F\"):\n",
    "    '''\n",
    "    Carry out the optimization for the solution path without the strong rule.\n",
    "    '''\n",
    "    beta_mat = _np.zeros((len(lambda_) + 1, p))\n",
    "    for j in range(len(lambda_)):\n",
    "        beta_mat[j + 1, :] = memmap_UAG_logistic_SCAD_MCP(\n",
    "            design_matrix=design_matrix,\n",
    "            outcome=outcome,\n",
    "            N=N,\n",
    "            p=p,\n",
    "            L_convex=L_convex,\n",
    "            beta_0=beta_mat[j, :],\n",
    "            tol=tol,\n",
    "            maxit=maxit,\n",
    "            _lambda=lambda_[j],\n",
    "            penalty=penalty,\n",
    "            a=a,\n",
    "            gamma=gamma,\n",
    "            _dtype=_dtype,\n",
    "            _order=_order,\n",
    "        )[1]\n",
    "    return beta_mat[1:, :]"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Testing"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {
    "ExecuteTime": {
     "end_time": "2022-08-09T22:25:49.585268Z",
     "start_time": "2022-08-09T22:25:09.258295Z"
    }
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[[4.18288650e-01 0.00000000e+00 0.00000000e+00 ... 0.00000000e+00\n",
      "  0.00000000e+00 0.00000000e+00]\n",
      " [4.19652111e-01 0.00000000e+00 0.00000000e+00 ... 0.00000000e+00\n",
      "  0.00000000e+00 0.00000000e+00]\n",
      " [4.20959441e-01 0.00000000e+00 0.00000000e+00 ... 0.00000000e+00\n",
      "  0.00000000e+00 0.00000000e+00]\n",
      " ...\n",
      " [4.50533892e-01 4.79884580e-02 0.00000000e+00 ... 0.00000000e+00\n",
      "  0.00000000e+00 0.00000000e+00]\n",
      " [4.51245653e-01 5.41205710e-02 0.00000000e+00 ... 3.57689290e-04\n",
      "  0.00000000e+00 0.00000000e+00]\n",
      " [4.52171424e-01 5.98629358e-02 0.00000000e+00 ... 1.09629559e-03\n",
      "  0.00000000e+00 0.00000000e+00]]\n"
     ]
    }
   ],
   "source": [
    "import numpy as np\n",
    "import matplotlib.markers as markers\n",
    "import matplotlib.pyplot as plt\n",
    "import timeit\n",
    "from scipy.linalg import toeplitz, block_diag\n",
    "from tempfile import mkdtemp\n",
    "import os.path as path\n",
    "\n",
    "# this cell is for profiling the function\n",
    "np.random.seed(0)\n",
    "N = 1000\n",
    "SNR = 5.\n",
    "true_beta = np.array([.5, -.5, .8, -.8] + [0] * 2000)\n",
    "X_cov = toeplitz(.5**np.arange(2004))\n",
    "mean = np.zeros(true_beta.shape[0])\n",
    "X = np.random.multivariate_normal(mean, X_cov, N)\n",
    "X -= np.mean(X, 0).reshape(1, -1)\n",
    "X /= np.std(X, 0)\n",
    "intercept_design_column = np.ones(N).reshape(N, 1)\n",
    "X_sim = np.concatenate((intercept_design_column, X), 1)\n",
    "true_sigma_sim = np.sqrt(true_beta.T @ X_cov @ true_beta / SNR)\n",
    "true_beta_intercept = np.concatenate((np.array([0.5]), true_beta))\n",
    "signal = X_sim @ true_beta_intercept + np.random.normal(0, true_sigma_sim, N)\n",
    "y_sim = np.random.binomial(1, np.tanh(signal / 2) / 2 + .5)\n",
    "\n",
    "L_convex = 1 / N * (np.linalg.eigvalsh(X_sim @ X_sim.T)[-1])\n",
    "\n",
    "filename = path.join(mkdtemp(), 'newfile.dat')\n",
    "fp = np.memmap(filename,\n",
    "               dtype='float32',\n",
    "               mode='w+',\n",
    "               shape=(N, 2005),\n",
    "               order=\"F\")\n",
    "fp[:] = X_sim[:]\n",
    "fp.flush()\n",
    "\n",
    "fit2 = memmap_solution_path_logistic(design_matrix=filename,\n",
    "                                     outcome=y_sim,\n",
    "                                     tol=1e-2,\n",
    "                                     maxit=500,\n",
    "                                     lambda_=np.linspace(.005, .08, 60)[::-1],\n",
    "                                     penalty=\"SCAD\",\n",
    "                                     a=3.7,\n",
    "                                     gamma=2.,\n",
    "                                     N=N,\n",
    "                                     p=2005,\n",
    "                                     L_convex=L_convex,\n",
    "                                     _dtype=\"float32\",\n",
    "                                     _order=\"F\")\n",
    "print(fit2)"
   ]
  },
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   "outputs": [],
   "source": []
  }
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