Announce: first public release of lightning!, a library for large-scale linear classification, regression and ranking in Python. The library was started a couple of years ago by Mathieu Blondel who also contributed the vast majority of source code. I joined recently its development and decided it was about time for a v0.1!.
Prebuild conda packages are available for all operating systems (god thank appveyor). More information on lightning's website.
Together with other scikit-learn developers we've created an umbrella organization for scikit-learn-related projects named scikit-learn-contrib. The idea is for this organization to host projects that are deemed too specific or too experimental to be included in the scikit-learn codebase but still offer an API which is compatible with scikit-learn and would like to benefit of the visibility of being labeled as scikit-learn-compatible.
We've set two requirements to being under this umbrella right now (this might evolve in the future). The first requirement is to have a scikit-learn compatible API, i.e., to follow the guide on the scikit-learn documentation so that objects can be used by scikit-learn meta-estimators (such as GridSearchCV). The second condition is that projects should be actively maintaned and have a high-quality codebase. Judging the quality of a codebase is difficult and subjective, but we agreed that at the bare minimum, the source code should be tested using continuous integration tools such as travis and reach a good test coverage (above 80%). More information is not available on the scikit-learn-contrib repository.
The first project to be hosted by this organization is lightning, but we hope that others will follow. If you would like to submit a new project, open an issue at the main project and we will look into it. There is also a project template for new and old projects.
Recently I've implemented, together with Arnaud Rachez, the SAGA algorithm in the lightning machine learning library (which by the way, has been recently moved to the new scikit-learn-contrib project). The lightning library uses the same API as scikit-learn but is particularly adapted to online learning. As for the SAGA algorithm, its performance is similar to other variance-reduced stochastic algorithms such as SAG or SVRG but it has the advantage with respect to SAG that it allows non-smooth penalty terms (such as $\ell_1$ regularization). It is implemented in lightning as SAGAClassifier and SAGARegressor.
We have taken care to make this implementation as efficient as possible. As for most stochastic gradient algorithms, a naive implementation takes 3 lines of code and is straightforward to implement. However, there are many tricks that are time-consuming and error-prone to implement but make a huge difference in efficiency.
A small example, more as a sanity check than to claim anything. The following plot shows the suboptimality as a function of time for three similar methods: SAG, SAGA and SVRG. The dataset used in the RCV1 dataset (test set, obtained from the libsvm webpage), consisting of 677.399 samples and 47.236 features. Interestingly, all methods can solve this rather large-scale problem within a few seconds. Within them, SAG and SAGA have a very similar performance and SVRG seems to be reasonably faster.
A note about the benchmarks: it is difficult to compare fairly stochastic gradient methods because at the end it usually boils down to how you choose the step size. In this plot I set the step size of all methods to 1/(3L) , where L is the Lipschitz constant of the objective function, as I think this is a popular choice. I would have prefered 1/L but SVRG was not converging for this step size. The code for the benchmarks can be found here.