skglm PDCD_WS solver seems unstable for Pinball Loss.

PDCD_WS solver seems unstable for Pinball Loss.

Open tpanum opened this issue 5 months ago • 1 comments

This is related to #274.

Describe the bug

It seems that the PDCD_WS solver seem to reach some sort of saddle point state when training using Pinball-loss on larger datasets (n > 1000).

Steps to reproduce

import numpy as np
from skglm import GeneralizedLinearEstimator
from skglm.experimental.pdcd_ws import PDCD_WS
from skglm.experimental.quantile_regression import Pinball
from skglm.penalties import L1
from sklearn.datasets import make_regression
from sklearn.preprocessing import StandardScaler


def generate_dummy_data(n_samples=1000, n_features=10, noise=0.1):
    X, y = make_regression(n_samples=n_samples, n_features=n_features, noise=noise)
    return X, y


def main():
    np.random.seed(42)

    datafit = Pinball(0.5)
    penalty = L1(alpha=0.1)
    solver = PDCD_WS(
        max_iter=500,
        max_epochs=500,
        tol=1e-2,
        warm_start=True,
        verbose=True,
    )

    estimator = GeneralizedLinearEstimator(
        datafit=datafit,
        penalty=penalty,
        solver=solver,
    )

    X, y = generate_dummy_data(
        n_samples=1000 # if this is reduced to 100 samples, it converges
    )
    scaler = StandardScaler()
    X_scaled = scaler.fit_transform(X)

    estimator.fit(X, y)


if __name__ == "__main__":
    main()

Additional context

Output of the script above:

Iteration 1: 52565.5050656615, stopping crit: 5.00e-01
Iteration 2: 3494.3110536304, stopping crit: 1.89e+00
Iteration 3: 3330.8862964547, stopping crit: 1.84e+00
Iteration 4: 3490.2614420899, stopping crit: 1.89e+00
Iteration 5: 3330.5134931424, stopping crit: 1.84e+00
Iteration 6: 3489.9658677444, stopping crit: 1.89e+00
Iteration 7: 3330.7569768701, stopping crit: 1.84e+00
Iteration 8: 3489.9379607882, stopping crit: 1.89e+00
Iteration 9: 3330.8503967227, stopping crit: 1.84e+00
Iteration 10: 3489.9346510227, stopping crit: 1.89e+00
Iteration 11: 3330.8359265067, stopping crit: 1.84e+00
Iteration 12: 3489.9410171510, stopping crit: 1.89e+00
Iteration 13: 3330.8393299432, stopping crit: 1.84e+00
Iteration 14: 3489.9368494568, stopping crit: 1.89e+00
Iteration 15: 3330.8535628846, stopping crit: 1.84e+00
Iteration 16: 3489.9217440951, stopping crit: 1.89e+00
Iteration 17: 3330.8868055934, stopping crit: 1.84e+00
Iteration 18: 3489.9044285475, stopping crit: 1.89e+00
Iteration 19: 3330.9125346518, stopping crit: 1.84e+00
Iteration 20: 3489.8886414754, stopping crit: 1.89e+00
Iteration 21: 3330.9328866608, stopping crit: 1.84e+00
Iteration 22: 3489.8747901399, stopping crit: 1.89e+00
Iteration 23: 3330.9506161866, stopping crit: 1.84e+00
Iteration 24: 3489.8624037707, stopping crit: 1.89e+00
Iteration 25: 3330.9660452761, stopping crit: 1.84e+00
Iteration 26: 3489.8512483333, stopping crit: 1.89e+00
Iteration 27: 3330.9795134702, stopping crit: 1.84e+00
Iteration 28: 3489.8412285774, stopping crit: 1.89e+00
Iteration 29: 3330.9912471699, stopping crit: 1.84e+00
Iteration 30: 3489.8321402565, stopping crit: 1.89e+00
Iteration 31: 3331.0014607780, stopping crit: 1.84e+00
Iteration 32: 3489.8238757482, stopping crit: 1.89e+00
Iteration 33: 3331.0104253430, stopping crit: 1.84e+00
Iteration 34: 3489.8163837178, stopping crit: 1.89e+00
Iteration 35: 3331.0182367078, stopping crit: 1.84e+00
Iteration 36: 3489.8096032691, stopping crit: 1.89e+00
Iteration 37: 3331.0250812112, stopping crit: 1.84e+00
Iteration 38: 3489.8034365971, stopping crit: 1.89e+00
Iteration 39: 3331.0304319672, stopping crit: 1.84e+00
Iteration 40: 3489.7984425524, stopping crit: 1.89e+00
Iteration 41: 3331.0337110933, stopping crit: 1.84e+00
Iteration 42: 3489.7952045149, stopping crit: 1.89e+00
Iteration 43: 3331.0358932213, stopping crit: 1.84e+00
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Iteration 50: 3489.7880759967, stopping crit: 1.89e+00
Iteration 51: 3331.0403774492, stopping crit: 1.84e+00
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Iteration 53: 3331.0409381467, stopping crit: 1.84e+00
Iteration 54: 3489.7858415604, stopping crit: 1.89e+00
Iteration 55: 3331.0413800396, stopping crit: 1.84e+00
Iteration 56: 3489.7849044982, stopping crit: 1.89e+00
Iteration 57: 3331.0417371850, stopping crit: 1.84e+00
Iteration 58: 3489.7840551602, stopping crit: 1.89e+00
Iteration 59: 3331.0420244205, stopping crit: 1.84e+00
Iteration 60: 3489.7832797938, stopping crit: 1.89e+00
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Iteration 104: 3489.7745312914, stopping crit: 1.89e+00
Iteration 105: 3331.0438197267, stopping crit: 1.84e+00
Iteration 106: 3489.7743289883, stopping crit: 1.89e+00
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Iteration 115: 3331.0439366443, stopping crit: 1.84e+00
Iteration 116: 3489.7734614225, stopping crit: 1.89e+00
Iteration 117: 3331.0439563424, stopping crit: 1.84e+00
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Iteration 119: 3331.0439750305, stopping crit: 1.84e+00
Iteration 120: 3489.7731716145, stopping crit: 1.89e+00
Iteration 121: 3331.0439924173, stopping crit: 1.84e+00
Iteration 122: 3489.7730372314, stopping crit: 1.89e+00
Iteration 123: 3331.0440084247, stopping crit: 1.84e+00
Iteration 124: 3489.7729094747, stopping crit: 1.89e+00
Iteration 125: 3331.0440236220, stopping crit: 1.84e+00
Iteration 126: 3489.7727879772, stopping crit: 1.89e+00
Iteration 127: 3331.0440380517, stopping crit: 1.84e+00
Iteration 128: 3489.7726724244, stopping crit: 1.89e+00
Iteration 129: 3331.0440517626, stopping crit: 1.84e+00
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Iteration 131: 3331.0440647817, stopping crit: 1.84e+00
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Iteration 133: 3331.0440773111, stopping crit: 1.84e+00
Iteration 134: 3489.7723585816, stopping crit: 1.89e+00
Iteration 135: 3331.0440892651, stopping crit: 1.84e+00
Iteration 136: 3489.7722640531, stopping crit: 1.89e+00
Iteration 137: 3331.0441006147, stopping crit: 1.84e+00
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Iteration 139: 3331.0441114002, stopping crit: 1.84e+00
Iteration 140: 3489.7720887085, stopping crit: 1.89e+00
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Iteration 149: 3331.0441577976, stopping crit: 1.84e+00
Iteration 150: 3489.7717202481, stopping crit: 1.89e+00
Iteration 151: 3331.0441657456, stopping crit: 1.84e+00
Iteration 152: 3489.7716568864, stopping crit: 1.89e+00
Iteration 153: 3331.0441732984, stopping crit: 1.84e+00
Iteration 154: 3489.7715966230, stopping crit: 1.89e+00
Iteration 155: 3331.0441804786, stopping crit: 1.84e+00
Iteration 156: 3489.7715393108, stopping crit: 1.89e+00
Iteration 157: 3331.0441872471, stopping crit: 1.84e+00
Iteration 158: 3489.7714848655, stopping crit: 1.89e+00
Iteration 159: 3331.0441935978, stopping crit: 1.84e+00
Iteration 160: 3489.7714331507, stopping crit: 1.89e+00
Iteration 161: 3331.0441996204, stopping crit: 1.84e+00
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Iteration 163: 3331.0442053639, stopping crit: 1.84e+00
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Iteration 165: 3331.0442108129, stopping crit: 1.84e+00
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Iteration 172: 3489.7711722772, stopping crit: 1.89e+00
Iteration 173: 3331.0442305325, stopping crit: 1.84e+00
Iteration 174: 3489.7711360252, stopping crit: 1.89e+00
Iteration 175: 3331.0442350912, stopping crit: 1.84e+00
Iteration 176: 3489.7711015545, stopping crit: 1.89e+00
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Iteration 229: 3331.0443003841, stopping crit: 1.84e+00
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Sep 20 '24 07:09 tpanum

skglm skglm copied to clipboard

PDCD_WS solver seems unstable for Pinball Loss.

Describe the bug

Steps to reproduce

skglm
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