gslr 0.1.1 → 0.2.0

checksums.yaml

@@ -1,7 +1,7 @@
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data/CHANGELOG.md

@@ -1,3 +1,17 @@
+## 0.2.0 (2022-09-02)
+
+- Fixed error on Mac
+- Dropped support for Ruby < 2.7
+
+## 0.1.3 (2020-07-26)
+
+- Improved performance
+- Improved error message when GSL not found on Mac
+
+## 0.1.2 (2019-12-08)
+
+- Added `covariance` and `chi2` methods
+
 ## 0.1.1 (2019-12-07)
 
 - Fixed `undefined symbol` error on Linux

data/NOTICE.txt

@@ -1,4 +1,4 @@
-Copyright (C) 2019 Andrew Kane
+Copyright (C) 2019-2022 Andrew Kane
 
 This program is free software: you can redistribute it and/or modify
 it under the terms of the GNU General Public License as published by

data/README.md

@@ -2,7 +2,7 @@
 
 :fire: High performance linear regression for Ruby, powered by [GSL](https://www.gnu.org/software/gsl/)
 
-[![Build Status](https://travis-ci.org/ankane/gslr.svg?branch=master)](https://travis-ci.org/ankane/gslr)
+[![Build Status](https://github.com/ankane/gslr/workflows/build/badge.svg?branch=master)](https://github.com/ankane/gslr/actions)
 
 ## Installation
 
@@ -15,7 +15,7 @@ brew install gsl
 Add this line to your application’s Gemfile:
 
 ```ruby
-gem 'gslr'
+gem "gslr"
 ```
 
 ## Getting Started
@@ -49,6 +49,13 @@ model.coefficients
 model.intercept
 ```
 
+Get the covariance matrix and chi-squared
+
+```ruby
+model.covariance
+model.chi2
+```
+
 Pass weights
 
 ```ruby
@@ -94,10 +101,10 @@ Check out [the options](https://www.gnu.org/software/gsl/extras/native_win_build
 ### Ubuntu
 
 ```sh
-sudo apt-get install libgsl-dev
+sudo apt install libgsl-dev
 ```
 
-## Heroku
+### Heroku
 
 Use the [Apt buildpack](https://github.com/heroku/heroku-buildpack-apt) and create an `Aptfile` with:
 
@@ -105,17 +112,6 @@ Use the [Apt buildpack](https://github.com/heroku/heroku-buildpack-apt) and crea
 libgsl-dev
 ```
 
-## Travis CI
-
-Add to `.travis.yml`:
-
-```yml
-addons:
-  apt:
-    packages:
-    - libgsl-dev
-```
-
 ## History
 
 View the [changelog](https://github.com/ankane/gslr/blob/master/CHANGELOG.md)

data/lib/gslr/ffi.rb

@@ -11,7 +11,7 @@ module GSLR
       rescue Fiddle::DLError => e
         retry if libs.any?
         raise e if ENV["GSLR_DEBUG"]
-        raise LoadError, "Could not find GSL"
+        raise LoadError, "GSL CBLAS not found"
       end
     end
 
@@ -21,9 +21,17 @@ module GSLR
     rescue Fiddle::DLError => e
       retry if libs.any?
       raise e if ENV["GSLR_DEBUG"]
-      raise LoadError, "Could not find GSL"
+
+      if e.message.include?("libgsl.dylib")
+        raise LoadError, "GSL not found. Run `brew install gsl`"
+      else
+        raise LoadError, "GSL not found"
+      end
     end
 
+    # https://www.gnu.org/software/gsl/doc/html/err.html
+    extern "char * gsl_strerror(int gsl_errno)"
+
     # https://www.gnu.org/software/gsl/doc/html/vectors.html
     extern "gsl_vector * gsl_vector_alloc(size_t n)"
     extern "void gsl_vector_free(gsl_vector * v)"
@@ -40,5 +48,6 @@ module GSLR
     extern "void gsl_multifit_linear_free(gsl_multifit_linear_workspace * work)"
     extern "int gsl_multifit_linear_solve(double lambda, gsl_matrix * Xs, gsl_vector * ys, gsl_vector * cs, double * rnorm, double * snorm, gsl_multifit_linear_workspace * work)"
     extern "int gsl_multifit_linear_svd(gsl_matrix * X, gsl_multifit_linear_workspace * work)"
+    extern "int gsl_multifit_linear_applyW(gsl_matrix * X, gsl_vector * w, gsl_vector * y, gsl_matrix * WX, gsl_vector * Wy)"
   end
 end

data/lib/gslr/model.rb

@@ -37,7 +37,7 @@ module GSLR
         one = [1].pack("d*")
         x.each do |xi|
           str << one if intercept
-          str << xi.pack("d*")
+          xi.pack("d*", buffer: str)
         end
         x_ptr[0, str.bytesize] = str
       end
@@ -73,5 +73,9 @@ module GSLR
     def dfloat(x)
       x.is_a?(Numo::DFloat) ? x : x.cast_to(Numo::DFloat)
     end
+
+    def check_status(status)
+      raise Error, FFI.gsl_strerror(status).to_s if status != 0
+    end
   end
 end

data/lib/gslr/ols.rb

@@ -1,5 +1,7 @@
 module GSLR
   class OLS < Model
+    attr_reader :covariance, :chi2
+
     def fit(x, y, weight: nil)
       # set data
       xc, s1, s2 = set_matrix(x, intercept: @fit_intercept)
@@ -14,15 +16,17 @@ module GSLR
       # fit
       if weight
         wc = set_vector(weight)
-        FFI.gsl_multifit_wlinear(xc, wc, yc, c, cov, chisq.ref, work)
+        check_status FFI.gsl_multifit_wlinear(xc, wc, yc, c, cov, chisq, work)
       else
-        FFI.gsl_multifit_linear(xc, yc, c, cov, chisq.ref, work)
+        check_status FFI.gsl_multifit_linear(xc, yc, c, cov, chisq, work)
       end
 
       # read solution
       c_ptr = FFI.gsl_vector_ptr(c, 0)
       @coefficients = c_ptr[0, s2 * Fiddle::SIZEOF_DOUBLE].unpack("d*")
       @intercept = @fit_intercept ? @coefficients.shift : 0.0
+      @covariance = read_matrix(cov, s2)
+      @chi2 = chisq[0, Fiddle::SIZEOF_DOUBLE].unpack1("d")
 
       nil
     ensure
@@ -33,5 +37,15 @@ module GSLR
       FFI.gsl_matrix_free(cov) if cov
       FFI.gsl_multifit_linear_free(work) if work
     end
+
+    private
+
+    def read_matrix(cov, s2)
+      ptr = FFI.gsl_matrix_ptr(cov, 0, 0)
+      row_size = s2 * Fiddle::SIZEOF_DOUBLE
+      s2.times.map do |i|
+        ptr[i * row_size, row_size].unpack("d*")
+      end
+    end
   end
 end

data/lib/gslr/ridge.rb

@@ -5,16 +5,29 @@ module GSLR
       @alpha = alpha
     end
 
-    def fit(x, y)
+    def fit(x, y, weight: nil)
       if @fit_intercept
         # the intercept should not be regularized
         # so we need to center x and y
         # and exclude the intercept
         xc, x_offset, s1, s2 = centered_matrix(x)
         yc, y_offset = centered_vector(y)
+
+        if weight
+          # TODO apply weights before centering
+          # not a great way to calculate and subtract the mean
+          # with GSL and FFI
+          raise "weight not supported with intercept yet"
+        end
       else
         xc, s1, s2 = set_matrix(x, intercept: false)
         yc = set_vector(y)
+
+        if weight
+          wc = set_vector(weight)
+          # in place transformation
+          check_status FFI.gsl_multifit_linear_applyW(xc, wc, yc, xc, yc)
+        end
       end
 
       # allocate solution
@@ -24,8 +37,8 @@ module GSLR
       work = FFI.gsl_multifit_linear_alloc(s1, s2)
 
       # fit
-      FFI.gsl_multifit_linear_svd(xc, work)
-      FFI.gsl_multifit_linear_solve(Math.sqrt(@alpha), xc, yc, c, rnorm.ref, snorm.ref, work)
+      check_status FFI.gsl_multifit_linear_svd(xc, work)
+      check_status FFI.gsl_multifit_linear_solve(Math.sqrt(@alpha), xc, yc, c, rnorm, snorm, work)
 
       # read solution
       c_ptr = FFI.gsl_vector_ptr(c, 0)
@@ -66,7 +79,7 @@ module GSLR
         # pack efficiently
         str = String.new
         x.each do |xi|
-          str << xi.zip(x_offset).map { |v, o| v - o }.pack("d*")
+          xi.zip(x_offset).map { |v, o| v - o }.pack("d*", buffer: str)
         end
         x_ptr[0, str.bytesize] = str
       end
@@ -83,7 +96,7 @@ module GSLR
       end
 
       yc = set_vector(y)
-      FFI.gsl_vector_add_constant(yc, -y_offset)
+      check_status FFI.gsl_vector_add_constant(yc, -y_offset)
 
       [yc, y_offset]
     end

data/lib/gslr/version.rb

@@ -1,3 +1,3 @@
 module GSLR
-  VERSION = "0.1.1"
+  VERSION = "0.2.0"
 end

data/lib/gslr.rb

@@ -18,6 +18,7 @@ module GSLR
     if Gem.win_platform?
       ["gsl.dll"]
     elsif RbConfig::CONFIG["host_os"] =~ /darwin/i
+      self.cblas_lib = ["libgslcblas.dylib"]
       ["libgsl.dylib"]
     else
       self.cblas_lib = ["libgslcblas.so"]

metadata

@@ -1,73 +1,17 @@
 --- !ruby/object:Gem::Specification
 name: gslr
 version: !ruby/object:Gem::Version
-  version: 0.1.1
+  version: 0.2.0
 platform: ruby
 authors:
 - Andrew Kane
-autorequire: 
+autorequire:
 bindir: bin
 cert_chain: []
-date: 2019-12-08 00:00:00.000000000 Z
-dependencies:
-- !ruby/object:Gem::Dependency
-  name: bundler
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: rake
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-- !ruby/object:Gem::Dependency
-  name: minitest
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '5'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '5'
-- !ruby/object:Gem::Dependency
-  name: numo-narray
-  requirement: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-  type: :development
-  prerelease: false
-  version_requirements: !ruby/object:Gem::Requirement
-    requirements:
-    - - ">="
-      - !ruby/object:Gem::Version
-        version: '0'
-description: 
-email: andrew@chartkick.com
+date: 2022-09-02 00:00:00.000000000 Z
+dependencies: []
+description:
+email: andrew@ankane.org
 executables: []
 extensions: []
 extra_rdoc_files: []
@@ -86,7 +30,7 @@ homepage: https://github.com/ankane/gslr
 licenses:
 - GPL-3.0-or-later
 metadata: {}
-post_install_message: 
+post_install_message:
 rdoc_options: []
 require_paths:
 - lib
@@ -94,15 +38,15 @@ required_ruby_version: !ruby/object:Gem::Requirement
   requirements:
   - - ">="
     - !ruby/object:Gem::Version
-      version: '2.4'
+      version: '2.7'
 required_rubygems_version: !ruby/object:Gem::Requirement
   requirements:
   - - ">="
     - !ruby/object:Gem::Version
       version: '0'
 requirements: []
-rubygems_version: 3.0.3
-signing_key: 
+rubygems_version: 3.3.7
+signing_key:
 specification_version: 4
 summary: High performance linear regression for Ruby, powered by GSL
 test_files: []