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Robustness and quality of life improvements to Shared Sparsity contribution. #58

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Robustness and quality of life improvements to Shared Sparsity contribution. #58

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Commits on May 31, 2023

  1. Update shared_sparsity_selection.py 

    Updates to improve robustness and quality-of-life:
-Addition of a max_norm constraint to avoid overflow/nonsparse outcomes given the nonconvex regularizer (involves a minor change to the optimization algorithm). This was a parameter that the theory had included, but we had omitted this from the original version since it only seems to matter in extreme circumstances where the hyperparameters are poorly chosen. There is also an auto option here for easy use, as well as none to ignore.
-Addition of an auto option for the mcp_alpha parameter, since this may be somewhat mysterious to some.
-Addition of an include_bias option defaulted to True. This subtracts off the mean of each group of covariates and outcomes (something we typically did outside the module), which is equivalent to adding an unregularized bias term to the regressions.
-The replacement of the auto option for mcp_lambda with an option proportional_lambda, which, if set to True, interprets the value of mcp_lambda as a constant of proportionality to the previous auto option. This is because I found in practice, the coefficient of the auto option pretty much always needs to be tuned, but that the analytic expression it uses was extremely helpful otherwise.
    @kgreenewald
    kgreenewald committed May 31, 2023
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  2. Update shared_sparsity_selection.py 

    edit parameter description
    @kgreenewald
    kgreenewald committed May 31, 2023
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