ENH Add support for GLasso and Adaptive (reweighted) GLasso

doc/api.rst

@@ -30,6 +30,18 @@ Estimators
    WeightedLasso
 
 
+Covariance
+==========
+
+.. currentmodule:: skglm
+
+.. autosummary::
+   :toctree: generated/
+
+   GraphicalLasso
+   AdaptiveGraphicalLasso
+
+
 Penalties
 =========
 

doc/changes/0.5.rst

@@ -6,3 +6,5 @@ Version 0.5 (in progress)
 - Add experimental :ref:`QuantileHuber <skglm.experimental.quantile_huber.QuantileHuber>` and :ref:`SmoothQuantileRegressor <skglm.experimental.quantile_huber.SmoothQuantileRegressor>` for quantile regression, and an example script (PR: :gh:`312`).
 - Add :ref:`GeneralizedLinearEstimatorCV <skglm.cv.GeneralizedLinearEstimatorCV>` for cross-validation with automatic parameter selection for L1 and elastic-net penalties (PR: :gh:`299`)
 - Add :class:`skglm.datafits.group.PoissonGroup` datafit for group-structured Poisson regression. (PR: :gh:`317`)
+- Add :ref:`GraphicalLasso <skglm.covariance.GraphicalLasso>` for sparse inverse covariance estimation with both primal and dual algorithms
+- Add :ref:`AdaptiveGraphicalLasso <skglm.covariance.AdaptiveGraphicalLasso>` for non-convex penalty variations using iterative reweighting strategy

examples/plot_reweighted_glasso_reg_path.py

@@ -0,0 +1,169 @@
+"""
+=======================================================================
+Regularization paths for the Graphical Lasso and its Adaptive variation
+=======================================================================
+This example demonstrates how non-convex penalties in the Adaptive Graphical Lasso
+can achieve superior sparsity recovery compared to the standard L1 penalty.
+
+The Adaptive Graphical Lasso uses iterative reweighting to approximate non-convex
+penalties, following Candès et al. (2007). Non-convex penalties often produce
+better sparsity patterns by more aggressively shrinking small coefficients while
+preserving large ones.
+
+We compare three approaches:
+    - **L1**: Standard Graphical Lasso with L1 penalty
+    - **Log**: Adaptive approach with logarithmic penalty
+    - **L0.5**: Adaptive approach with L0.5 penalty
+
+The plots show normalized mean square error (NMSE) for reconstruction accuracy
+and F1 score for sparsity pattern recovery across different regularization levels.
+"""
+
+# Authors: Can Pouliquen
+#          Mathurin Massias
+#          Florian Kozikowski
+
+import numpy as np
+from numpy.linalg import norm
+import matplotlib.pyplot as plt
+from sklearn.metrics import f1_score
+
+from skglm.covariance import GraphicalLasso, AdaptiveGraphicalLasso
+from skglm.penalties.separable import LogSumPenalty, L0_5
+from skglm.utils.data import make_dummy_covariance_data
+
+# %%
+# Generate synthetic sparse precision matrix data
+# ===============================================
+
+p = 100
+n = 1000
+S, _, Theta_true, alpha_max = make_dummy_covariance_data(n, p)
+alphas = alpha_max*np.geomspace(1, 1e-4, num=10)
+
+# %%
+# Setup models with different penalty functions
+# ============================================
+
+penalties = ["L1", "Log", "L0.5"]
+n_reweights = 5  # Number of adaptive reweighting iterations
+models_tol = 1e-4
+
+models = [
+    # Standard Graphical Lasso with L1 penalty
+    GraphicalLasso(algo="primal", warm_start=True, tol=models_tol),
+
+    # Adaptive Graphical Lasso with logarithmic penalty
+    AdaptiveGraphicalLasso(warm_start=True,
+                           penalty=LogSumPenalty(alpha=1.0, eps=1e-10),
+                           n_reweights=n_reweights,
+                           tol=models_tol),
+
+    # Adaptive Graphical Lasso with L0.5 penalty
+    AdaptiveGraphicalLasso(warm_start=True,
+                           penalty=L0_5(alpha=1.0),
+                           n_reweights=n_reweights,
+                           tol=models_tol),
+]
+
+# %%
+# Compute regularization paths
+# ============================
+
+nmse_results = {penalty: [] for penalty in penalties}
+f1_results = {penalty: [] for penalty in penalties}
+
+
+# Fit models across regularization path
+for i, (penalty, model) in enumerate(zip(penalties, models)):
+    print(f"Fitting {penalty} penalty across {len(alphas)} regularization values...")
+    for alpha_idx, alpha in enumerate(alphas):
+        print(
+            f"  alpha {alpha_idx+1}/{len(alphas)}: "
+            f"lambda/lambda_max = {alpha/alpha_max:.1e}",
+            end="")
+
+        model.alpha = alpha
+        model.fit(S, mode='precomputed')
+
+        Theta_est = model.precision_
+        nmse = norm(Theta_est - Theta_true)**2 / norm(Theta_true)**2
+        f1_val = f1_score(Theta_est.flatten() != 0., Theta_true.flatten() != 0.)
+
+        nmse_results[penalty].append(nmse)
+        f1_results[penalty].append(f1_val)
+
+        print(f"NMSE: {nmse:.3f}, F1: {f1_val:.3f}")
+    print(f"{penalty} penalty complete!\n")
+
+
+# %%
+# Plot results
+# ============
+fig, axarr = plt.subplots(2, 1, sharex=True, figsize=([6.11, 3.91]),
+                          layout="constrained")
+cmap = plt.get_cmap("tab10")
+for i, penalty in enumerate(penalties):
+
+    for j, ax in enumerate(axarr):
+
+        if j == 0:
+            metric = nmse_results
+            best_idx = np.argmin(metric[penalty])
+            ystop = np.min(metric[penalty])
+        else:
+            metric = f1_results
+            best_idx = np.argmax(metric[penalty])
+            ystop = np.max(metric[penalty])
+
+        ax.semilogx(alphas/alpha_max,
+                    metric[penalty],
+                    color=cmap(i),
+                    linewidth=2.,
+                    label=penalty)
+
+        ax.vlines(
+            x=alphas[best_idx] / alphas[0],
+            ymin=0,
+            ymax=ystop,
+            linestyle='--',
+            color=cmap(i))
+        line = ax.plot(
+            [alphas[best_idx] / alphas[0]],
+            0,
+            clip_on=False,
+            marker='X',
+            color=cmap(i),
+            markersize=12)
+
+        ax.grid(which='both', alpha=0.9)
+
+axarr[0].legend(fontsize=14)
+axarr[0].set_title(f"{p=},{n=}", fontsize=18)
+axarr[0].set_ylabel("NMSE", fontsize=18)
+axarr[1].set_ylabel("F1 score", fontsize=18)
+_ = axarr[1].set_xlabel(r"$\lambda / \lambda_\mathrm{{max}}$",  fontsize=18)
+# %%
+# Results summary
+# ===============
+
+print("Performance at optimal regularization:")
+print("-" * 50)
+
+for penalty in penalties:
+    best_nmse = min(nmse_results[penalty])
+    best_f1 = max(f1_results[penalty])
+    print(f"{penalty:>4}: NMSE = {best_nmse:.3f}, F1 = {best_f1:.3f}")
+
+# %% [markdown]
+#
+# **Metrics explanation:**
+#
+# * **NMSE (Normalized Mean Square Error)**: Measures reconstruction accuracy
+#   of the precision matrix. Lower values = better reconstruction.
+# * **F1 Score**: Measures sparsity pattern recovery (correctly identifying
+#   which entries are zero/non-zero). Higher values = better sparsity.
+#
+# **Key finding**: Non-convex penalties achieve significantly
+# better sparsity recovery (F1 score) while maintaining
+# competitive reconstruction accuracy (NMSE).

skglm/__init__.py

@@ -5,3 +5,4 @@
     SparseLogisticRegression, GeneralizedLinearEstimator, CoxEstimator, GroupLasso,
 )
 from .cv import GeneralizedLinearEstimatorCV  # noqa F401
+from .covariance import GraphicalLasso, AdaptiveGraphicalLasso  # noqa F401