linreg-core 0.7.0 → 0.8.1

package/README.md

@@ -10,20 +10,22 @@
 [![Live Demo](https://img.shields.io/badge/demo-online-brightgreen)](https://jesse-anderson.net/linreg-core/)
 
 
-A lightweight, self-contained linear regression library written in Rust. Compiles to WebAssembly for browser use, Python bindings via PyO3, or runs as a native Rust crate.
+A lightweight, self-contained linear regression library written in Rust. Compiles to WebAssembly for browser use, Python bindings via PyO3, a native Windows DLL for Excel VBA, or runs as a native Rust crate.
 
 **Key design principle:** All linear algebra and statistical distribution functions are implemented from scratch — no external math libraries required. This keeps binary sizes small and makes the crate highly portable.
 
+**[Live Demo Link](https://jesse-anderson.net/linreg-core/)**
 ---
 
 ## Table of Contents
 
 | Section | Description |
 |---------|-------------|
-| [Features](#features) | Regression methods, model statistics, diagnostic tests |
+| [Features](#features) | Regression methods, model statistics, feature importance, diagnostic tests |
 | [Rust Usage](#rust-usage) | Native Rust crate usage |
 | [WebAssembly Usage](#webassembly-usage) | Browser/JavaScript usage |
 | [Python Usage](#python-usage) | Python bindings via PyO3 |
+| [VBA / Excel Usage](#vba--excel-usage) | Excel VBA via native Windows DLL |
 | [Feature Flags](#feature-flags) | Build configuration options |
 | [Validation](#validation) | Testing and verification |
 | [Implementation Notes](#implementation-notes) | Technical details |
@@ -37,10 +39,13 @@ A lightweight, self-contained linear regression library written in Rust. Compile
 - **Ridge Regression:** L2-regularized regression with optional standardization, effective degrees of freedom, model selection criteria
 - **Lasso Regression:** L1-regularized regression via coordinate descent with automatic variable selection, convergence tracking, model selection criteria
 - **Elastic Net:** Combined L1 + L2 regularization for variable selection with multicollinearity handling, active set convergence, model selection criteria
+- **Polynomial Regression:** Polynomial fitting of any degree with centering/standardization for numerical stability
 - **LOESS:** Locally estimated scatterplot smoothing for non-parametric curve fitting with configurable span, polynomial degree, and robust fitting
 - **WLS (Weighted Least Squares):** Regression with observation weights for heteroscedastic data, includes confidence intervals
+- **Prediction Intervals:** Uncertainty bounds for individual future observations (OLS, Ridge, Lasso, Elastic Net)
 - **K-Fold Cross Validation:** Model evaluation and hyperparameter tuning for all regression types (OLS, Ridge, Lasso, Elastic Net) with customizable folds, shuffling, and seeding
 - **Lambda Path Generation:** Create regularization paths for cross-validation
+- **Model Serialization:** Save/load trained models to/from JSON for all model types
 
 ### Model Statistics
 - **Fit Metrics:** R-squared, Adjusted R-squared, F-statistic, F-test p-value
@@ -49,6 +54,12 @@ A lightweight, self-contained linear regression library written in Rust. Compile
 - **Residuals:** Raw residuals, standardized residuals, fitted values, leverage (hat matrix diagonal)
 - **Multicollinearity:** Variance Inflation Factor (VIF) for each predictor
 
+### Feature Importance
+- **Standardized Coefficients:** Coefficients scaled by standard deviation for cross-variable comparison
+- **SHAP Values:** Exact SHAP (Shapley Additive Explanations) for linear models — local and global importance
+- **Permutation Importance:** Performance drop when feature values are randomly shuffled
+- **VIF Ranking:** Automatic multicollinearity assessment with interpretation guidance
+
 ### Diagnostic Tests
 | Category | Tests |
 |----------|-------|
@@ -67,7 +78,7 @@ Add to your `Cargo.toml`:
 
 ```toml
 [dependencies]
-linreg-core = { version = "0.6", default-features = false }
+linreg-core = { version = "0.8", default-features = false }
 ```
 
 ### OLS Regression (Rust)
@@ -196,6 +207,61 @@ fn main() -> Result<(), linreg_core::Error> {
 }
 ```
 
+### Polynomial Regression (Rust)
+
+```rust,no_run
+use linreg_core::polynomial::{polynomial_regression, polynomial_predict};
+
+fn main() -> Result<(), linreg_core::Error> {
+    let y = vec![2.1, 4.9, 10.8, 19.5, 32.1];  // Quadratic relationship
+    let x = vec![1.0, 2.0, 3.0, 4.0, 5.0];
+
+    // Fit degree-2 polynomial with centering for numerical stability
+    let fit = polynomial_regression(&y, &x, 2, true, true)?;
+
+    println!("R²: {:.4}", fit.ols_output.r_squared);
+    println!("Coefficients: {:?}", fit.ols_output.coefficients);
+
+    // Predict at new x values
+    let new_x = vec![2.5, 5.5];
+    let predictions = polynomial_predict(&fit, &new_x)?;
+    println!("Predictions: {:?}", predictions);
+
+    Ok(())
+}
+```
+
+### Feature Importance (Rust)
+
+```rust,no_run
+use linreg_core::feature_importance::{
+    standardized_coefficients, shap_values_linear,
+    permutation_importance_ols, PermutationImportanceOptions,
+};
+
+fn main() -> Result<(), linreg_core::Error> {
+    let y = vec![2.5, 3.7, 4.2, 5.1, 6.3];
+    let x1 = vec![1.0, 2.0, 3.0, 4.0, 5.0];
+    let x2 = vec![2.0, 4.0, 5.0, 4.0, 3.0];
+
+    // Standardized coefficients for comparison
+    let std_coef = standardized_coefficients(&[0.8, 0.5], &[x1.clone(), x2.clone()])?;
+    println!("Standardized: {:?}", std_coef.standardized_coefficients);
+
+    // SHAP values for local explanations
+    let shap = shap_values_linear(&[x1, x2], &[1.5, 0.3])?;
+    println!("SHAP: {:?}", shap.mean_abs_shap);
+
+    // Permutation importance
+    let perm = permutation_importance_ols(
+        &y, &[x1, x2], &PermutationImportanceOptions::default()
+    )?;
+    println!("Importance: {:?}", perm.importance);
+
+    Ok(())
+}
+```
+
 ### Diagnostic Tests (Rust)
 
 ```rust
@@ -1104,18 +1170,166 @@ The `save_model()` and `load_model()` functions work with all result types: `OLS
 
 ---
 
+## VBA / Excel Usage
+
+The library ships as a native Windows DLL, letting you call it directly from Excel VBA via `Declare` statements. Prebuilt binaries are included in the `VBA_Example/` directory:
+
+| File | Architecture |
+|------|-------------|
+| `linreg_core_x64.dll` | 64-bit Excel (Office 2010+) |
+| `linreg_core_x86.dll` | 32-bit Excel (legacy) |
+
+### Installation
+
+1. Copy `linreg_core_x64.dll` (and/or `linreg_core_x86.dll`) to the same folder as your `.xlsm` workbook.
+2. Import `LinregCore.bas` into your VBA project (ALT+F11 → File → Import File).
+3. Optionally import `ExampleMacros.bas` for ready-to-run demo macros. Once both files are imported, run `SetupWorkbook()` from the Immediate Window or a button to automatically create example sheets and load sample data.
+
+### Building from Source
+
+```bash
+# 64-bit (modern Excel)
+cargo build --release --target x86_64-pc-windows-msvc --features ffi
+
+# 32-bit (legacy Excel)
+cargo build --release --target i686-pc-windows-msvc --features ffi
+```
+
+The 32-bit build automatically uses `linreg_core.def` to strip stdcall decoration, so VBA `Declare` statements work without modification.
+
+### High-Level Wrappers
+
+`LinregCore.bas` exposes friendly wrapper functions that return 2D Excel arrays you can drop straight into cells with `Application.Transpose`:
+
+```vba
+' OLS regression - returns (k+6)×5 summary array
+Dim result As Variant
+result = LinReg_OLS(y, X)
+
+' Regularized regression
+result = LinReg_Ridge(y, X, lambda:=1.0, standardize:=True)
+result = LinReg_Lasso(y, X, lambda:=0.1)
+result = LinReg_ElasticNet(y, X, lambda:=0.1, alpha:=0.5)
+
+' Weighted OLS
+result = LinReg_WLS(y, X, weights)
+
+' Prediction intervals (n_new × 4: predicted, lower, upper, SE)
+result = LinReg_PredictionIntervals(y, X, newX, alpha:=0.05)
+
+' Diagnostic tests - each returns 1×3: {statistic, p-value, df}
+result = LinReg_BreuschPagan(y, X)
+result = LinReg_White(y, X)
+result = LinReg_JarqueBera(y, X)
+result = LinReg_ShapiroWilk(y, X)
+result = LinReg_AndersonDarling(y, X)
+result = LinReg_HarveyCollier(y, X)
+result = LinReg_Rainbow(y, X, fraction:=0.5)
+result = LinReg_Reset(y, X)
+result = LinReg_DurbinWatson(y, X)   ' {DW statistic, ρ, ""}
+result = LinReg_BreuschGodfrey(y, X, lagOrder:=1)
+
+' Influence diagnostics
+result = LinReg_VIF(y, X)            ' p×1
+result = LinReg_CooksDistance(y, X)  ' n×1
+result = LinReg_DFFITS(y, X)         ' n×1
+result = LinReg_DFBETAS(y, X)        ' (n+1)×(p+1) with header row/col
+
+' Regularization path and cross-validation
+result = LinReg_LambdaPath(y, X, nLambda:=100, lmr:=0.01, alpha:=1.0)
+result = LinReg_KFoldOLS(y, X, nFolds:=5)        ' 1×6 CV metrics
+result = LinReg_KFoldRidge(y, X, lambda:=1.0)
+result = LinReg_KFoldLasso(y, X, lambda:=0.1)
+result = LinReg_KFoldElasticNet(y, X, lambda:=0.1, alpha:=0.5)
+```
+
+All wrappers return a 1-element array containing an error string on failure:
+
+```vba
+If IsArray(result) And UBound(result, 1) = 0 Then
+    MsgBox "Error: " & result(0)
+    Exit Sub
+End If
+```
+
+### Low-Level Handle API
+
+The DLL uses an opaque handle pattern. All `LR_*` functions return a `usize` handle (0 = error); call `LR_Free` when done:
+
+```vba
+' --- declarations already in LinregCore.bas ---
+' Private Declare PtrSafe Function LR_OLS Lib "linreg_core_x64.dll" ...
+' Private Declare PtrSafe Sub LR_Free Lib "linreg_core_x64.dll" ...
+
+Sub LowLevelExample()
+    Dim n As Long, p As Long
+    n = 5 : p = 1
+
+    Dim y(4) As Double
+    y(0) = 2.5 : y(1) = 3.7 : y(2) = 4.2 : y(3) = 5.1 : y(4) = 6.3
+
+    ' X is row-major, no intercept column (added automatically)
+    Dim X(4) As Double
+    X(0) = 1 : X(1) = 2 : X(2) = 3 : X(3) = 4 : X(4) = 5
+
+    Dim h As LongPtr
+    h = LR_OLS(VarPtr(y(0)), n, VarPtr(X(0)), n, p)
+
+    If h = 0 Then
+        MsgBox "Regression failed"
+        Exit Sub
+    End If
+
+    Dim r2 As Double, mse As Double
+    r2  = LR_GetRSquared(h)
+    mse = LR_GetMSE(h)
+
+    ' Retrieve coefficient vector (intercept + slopes = p+1 values)
+    Dim coefs(1) As Double
+    LR_GetCoefficients h, VarPtr(coefs(0)), p + 1
+
+    Debug.Print "R²=" & r2 & "  MSE=" & mse
+    Debug.Print "Intercept=" & coefs(0) & "  Slope=" & coefs(1)
+
+    LR_Free h
+End Sub
+```
+
+### Key FFI Functions
+
+| Category | Functions |
+|----------|-----------|
+| **Lifecycle** | `LR_Init`, `LR_Free`, `LR_GetLastError`, `LR_Version` |
+| **Regression** | `LR_OLS`, `LR_Ridge`, `LR_Lasso`, `LR_ElasticNet`, `LR_WLS` |
+| **Predictions** | `LR_PredictionIntervals` |
+| **Diagnostics** | `LR_BreuschPagan`, `LR_White`, `LR_JarqueBera`, `LR_ShapiroWilk`, `LR_AndersonDarling`, `LR_HarveyCollier`, `LR_Rainbow`, `LR_Reset`, `LR_DurbinWatson`, `LR_BreuschGodfrey` |
+| **Influence** | `LR_CooksDistance`, `LR_DFFITS`, `LR_DFBETAS`, `LR_VIF` |
+| **Path / CV** | `LR_LambdaPath`, `LR_KFoldOLS`, `LR_KFoldRidge`, `LR_KFoldLasso`, `LR_KFoldElasticNet` |
+| **Scalar getters** | `LR_GetRSquared`, `LR_GetAdjRSquared`, `LR_GetFStatistic`, `LR_GetFPValue`, `LR_GetMSE`, `LR_GetIntercept`, `LR_GetDF`, `LR_GetNNonzero`, `LR_GetStatistic`, `LR_GetPValue`, `LR_GetTestDF`, `LR_GetAutocorrelation` |
+| **Vector getters** | `LR_GetCoefficients`, `LR_GetStdErrors`, `LR_GetTStats`, `LR_GetPValues`, `LR_GetResiduals`, `LR_GetFittedValues`, `LR_GetVector`, `LR_GetMatrix`, `LR_GetPredicted`, `LR_GetLowerBound`, `LR_GetUpperBound`, `LR_GetSEPred` |
+
+### Running FFI Tests
+
+```bash
+cargo test --features ffi --test ffi_tests
+cargo test --features ffi --test ffi_vba_tests
+```
+
+---
+
 ## Feature Flags
 
 | Feature | Default | Description |
 |---------|---------|-------------|
 | `wasm` | Yes | Enables WASM bindings and browser support |
 | `python` | No | Enables Python bindings via PyO3 |
+| `ffi` | No | Enables Windows DLL bindings for VBA/Excel use |
 | `validation` | No | Includes test data for validation tests |
 
 For native Rust without WASM overhead:
 
 ```toml
-linreg-core = { version = "0.6", default-features = false }
+linreg-core = { version = "0.8", default-features = false }
 ```
 
 For Python bindings (built with maturin):
@@ -1139,6 +1353,12 @@ cargo test
 # WASM tests
 wasm-pack test --node
 
+# FFI tests (VBA/C bindings)
+cargo test --features ffi
+
+# Python tests (requires maturin build)
+pytest tests/python/
+
 # All tests including doctests
 cargo test --all-features
 ```