A fast and flexible machine learning library for nonparametric high-dimensional regression and classification with guarantees.

• Python 3.8+
• C++ compiler (g++, clang, or MSVC)
• CMake 3.15+
• Eigen3

pip install hapc

pip install git+https://github.com/yourusername/hapc.git

Or with editable install for development:

git clone https://github.com/yourusername/hapc.git
cd hapc
pip install -e .

If installation fails, you may need to install build dependencies:

macOS:

brew install cmake eigen

Ubuntu/Debian:

sudo apt-get install cmake libeigen3-dev build-essential

Windows:

pip install cmake
# Install Visual Studio Build Tools or use conda
conda install -c conda-forge eigen

import numpy as np
from hapc.single import single_pcghal
from hapc.cv import pcghal_cv

# Generate sample data
X = np.random.randn(100, 5)
Y = X[:, 0] + 0.5 * X[:, 1] + np.random.randn(100) * 0.1

# Single fit with fixed lambda
result = single_pcghal(X, Y, maxdeg=2, npc=5, single_lambda=0.01)
print(f"Risk: {result.optimizer_output.risk:.6f}")

# Cross-validation to select lambda
lambdas = np.logspace(-4, 0, 10)
cv_result = pcghal_cv(X, Y, maxdeg=2, npc=5, lambdas=lambdas, nfolds=5)
print(f"Best lambda: {cv_result.best_lambda:.6f}")

# Make predictions
X_test = np.random.randn(20, 5)
result = single_pcghal(X, Y, maxdeg=2, npc=5, single_lambda=0.01, predict=X_test)
print(f"Predictions: {result.predictions}")

from hapc.single import single_pcghal

result = single_pcghal(
    X, Y,
    maxdeg=2,        # Maximum degree of interactions
    npc=10,          # Number of principal components
    single_lambda=0.01,
    predict=X_test   # Optional: test data for predictions
)

from hapc.single import single_pcghal

result = single_pcghal(
    X, Y_binary,
    maxdeg=2,
    npc=10,
    single_lambda=0.01,
    predict=X_test
)

from hapc.cv import pcghal_cv

cv_result = pcghal_cv(
    X, Y,
    maxdeg=2,
    npc=10,
    lambdas=np.logspace(-4, 0, 20),
    nfolds=5
)
print(cv_result.best_lambda)

Fit PC-GHAL with a single lambda value.

Parameters:

• X (ndarray, shape (n, p)): Input features
• Y (ndarray, shape (n,)): Response variable
• maxdeg (int): Maximum degree of interactions
• npc (int): Number of principal components
• single_lambda (float): Regularization parameter
• max_iter (int, default=100): Maximum iterations
• tol (float, default=1e-6): Convergence tolerance
• verbose (bool, default=False): Print progress
• predict (ndarray, optional): Test data for predictions
• center (bool, default=True): Center the design matrix

Returns:

• result.optimizer_output.alpha: Coefficients
• result.optimizer_output.risk: Final risk
• result.optimizer_output.iter: Iterations until convergence
• result.predictions: Predictions on test data (if provided)

Cross-validation to select lambda.

Parameters:

• lambdas (ndarray): Grid of lambda values to test
• nfolds (int, default=5): Number of CV folds
• ...other parameters same as single_pcghal

Returns:

• cv_result.best_lambda: Optimal lambda
• cv_result.mses: CV errors for each lambda
• cv_result.best_model: Fitted model with best lambda
• cv_result.predictions: Predictions on test data (if provided)

Contributions welcome! The C++ core is shared between R and Python packages.

git clone https://github.com/yourusername/hapc.git
cd hapc
pip install -e .
pytest

MIT License - see LICENSE file