statspai-hdfe 0.8.0__tar.gz

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statspai_hdfe-0.8.0/Cargo.toml

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+[package]
+name = "statspai_hdfe"
+version = "0.8.0"
+edition = "2021"
+authors = ["Bryce Wang <brycew6m@stanford.edu>"]
+description = "Rust kernels (HDFE demeaning, Poisson IRLS, cluster meat) for the StatsPAI Python package"
+license = "MIT"
+readme = "README.md"
+rust-version = "1.80"
+repository = "https://github.com/brycewang-stanford/StatsPAI"
+
+[lib]
+name = "statspai_hdfe"
+crate-type = ["cdylib"]
+
+[dependencies]
+# abi3: one wheel per platform serves every CPython >= 3.10 (the floor
+# of StatsPAI's ``requires-python``).
+pyo3 = { version = "0.21", features = ["abi3-py310"] }
+numpy = "0.21"
+rayon = "1.10"
+
+[features]
+# maturin turns this on (pyproject.toml); plain ``cargo test`` leaves it
+# off so the test binary links against libpython.
+extension-module = ["pyo3/extension-module"]
+
+[profile.release]
+opt-level = 3
+lto = "fat"
+codegen-units = 1
+# Unwind, not abort: PyO3 turns a panic into a Python exception only
+# when it can unwind; with "abort" any bug would kill the interpreter.
+panic = "unwind"

statspai_hdfe-0.8.0/PKG-INFO

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+Metadata-Version: 2.4
+Name: statspai-hdfe
+Version: 0.8.0
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Programming Language :: Rust
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: Implementation :: CPython
+Classifier: Topic :: Scientific/Engineering :: Mathematics
+Requires-Dist: numpy>=1.20
+Summary: Rust kernels for StatsPAI: HDFE demeaning, Poisson IRLS, cluster-robust meat
+Author-email: Biaoyue Wang <brycew6m@stanford.edu>
+License: MIT
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown; charset=UTF-8; variant=GFM
+Project-URL: Homepage, https://github.com/brycewang-stanford/StatsPAI
+Project-URL: Source, https://github.com/brycewang-stanford/StatsPAI/tree/main/rust/statspai_hdfe
+
+# statspai-hdfe
+
+Rust kernels for [StatsPAI](https://github.com/brycewang-stanford/StatsPAI):
+high-dimensional fixed-effect (HDFE) demeaning, the native Poisson IRLS
+behind `sp.fast.fepois`, and the cluster-robust sandwich meat.
+
+```bash
+pip install "statspai[rust]"     # or: pip install statspai-hdfe
+```
+
+StatsPAI never requires this package. Without it the same functions run
+on NumPy / Numba and agree with the Rust path to within the
+residualisation tolerance. Check which one is in use:
+
+```python
+import statspai as sp
+sp.fast.backend_info()      # {'available': True, 'version': '0.8.0', 'threads': 8, ...}
+sp.fast.set_num_threads(4)  # or set STATSPAI_NUM_THREADS before starting Python
+```
+
+`STATSPAI_SKIP_RUST=1` makes StatsPAI ignore an installed extension.
+
+## What uses it
+
+| StatsPAI entry point | Kernel |
+| --- | --- |
+| `sp.fast.feols`, `sp.fast.demean`, `sp.fast.within`, `sp.fast.event_study` | `demean_2d` |
+| `sp.fast.feols(weights=)`, `sp.ppmlhdfe` (two or more FEs) | `demean_2d_weighted` |
+| `sp.fast.fepois` | `fepois_irls`, `separation_mask` |
+| `sp.iv(absorb=)`, `sp.didregress`, `sp.iv.iv_diag`, weak-IV diagnostics | `demean_2d` |
+| `sp.regress(cluster=)` (one-way) | `cluster_meat` |
+| singleton pruning in `sp.fast` | `singleton_mask` |
+
+`sp.hdfe_ols` / `sp.Absorber`, `sp.panel` and the pyfixest-backed
+`sp.feols` do not use it.
+
+## Algorithm
+
+The fixed-effect projection is solved in the space of FE coefficients,
+as `fixest` does (Bergé 2018; `paper.bib` key `berge2018efficient`):
+
+* **Two FEs.** One Gauss-Seidel sweep needs only the group sums of the
+  column and the sparse cross-tabulation of the two FEs, so it costs
+  `O(nnz)` instead of `O(n)`; on panels where a unit meets few levels of
+  the other FE (worker x firm, firm x year) that is a small fraction of
+  the rows. The iteration runs on the coefficients of the smaller FE and
+  is accelerated with Irons-Tuck at every step.
+* **Three or more FEs.** The two FEs with the most levels form a block
+  solved by the two-FE routine (warm-started) inside an outer
+  Gauss-Seidel over the others, accelerated with Irons-Tuck. The inner
+  tolerance starts loose and follows the outer change down.
+* **Stopping rule.** Stop when the bound on the change of the residual
+  between two sweeps is at most `tol_abs + tol_rel * max|x|`, the rule of
+  the NumPy reference in `statspai.fast.demean`.
+* **IRLS.** The FE structure is built once per `fepois` call; each
+  iteration re-weights it and restarts every column from its FE
+  coefficients of the previous iteration.
+
+Columns are processed in parallel. The cluster meat sums fixed blocks of
+clusters in parallel and adds the block sums in order, so its result is
+the same at any thread count; the demeaning is per column and therefore
+also independent of the thread count.
+
+## Safety
+
+Every entry point validates lengths, contiguity and code ranges before
+running and raises `ValueError` on bad input. The crate is built with
+`panic = "unwind"`, so an unexpected panic surfaces as a Python exception
+instead of aborting the interpreter. The kernels run on their own thread
+pool (never Rayon's global one), which is rebuilt in a forked child.
+
+## Build from source
+
+```bash
+pip install maturin
+cd rust/statspai_hdfe
+maturin develop --release       # into the active environment
+maturin build --release         # a wheel in target/wheels
+PYO3_PYTHON=python cargo test --release
+```
+
+Wheels are abi3: one per platform serves every CPython >= 3.10. The
+`rust-hdfe` GitHub workflow tests the crate on Linux, macOS and Windows,
+builds wheels on demand, and publishes on an `hdfe-v*` tag.
+
+## Kernel API
+
+`statspai_hdfe.API_VERSION` names the interface level; StatsPAI ignores
+an extension older than the level it was written against
+(`statspai._rust_backend.MIN_API_VERSION`) and warns once.
+
+| Level | Crate | Change |
+| --- | --- | --- |
+| 1 | 0.1 – 0.7 | data-space alternating projections; inputs not validated |
+| 2 | 0.8 | coefficient-space solver; validated inputs; `fepois_irls` reports `singular` / `fe_converged`; thread-pool control; reproducible `cluster_meat` |
+
+## License
+
+MIT.
+

statspai_hdfe-0.8.0/README.md

@@ -0,0 +1,99 @@
+# statspai-hdfe
+
+Rust kernels for [StatsPAI](https://github.com/brycewang-stanford/StatsPAI):
+high-dimensional fixed-effect (HDFE) demeaning, the native Poisson IRLS
+behind `sp.fast.fepois`, and the cluster-robust sandwich meat.
+
+```bash
+pip install "statspai[rust]"     # or: pip install statspai-hdfe
+```
+
+StatsPAI never requires this package. Without it the same functions run
+on NumPy / Numba and agree with the Rust path to within the
+residualisation tolerance. Check which one is in use:
+
+```python
+import statspai as sp
+sp.fast.backend_info()      # {'available': True, 'version': '0.8.0', 'threads': 8, ...}
+sp.fast.set_num_threads(4)  # or set STATSPAI_NUM_THREADS before starting Python
+```
+
+`STATSPAI_SKIP_RUST=1` makes StatsPAI ignore an installed extension.
+
+## What uses it
+
+| StatsPAI entry point | Kernel |
+| --- | --- |
+| `sp.fast.feols`, `sp.fast.demean`, `sp.fast.within`, `sp.fast.event_study` | `demean_2d` |
+| `sp.fast.feols(weights=)`, `sp.ppmlhdfe` (two or more FEs) | `demean_2d_weighted` |
+| `sp.fast.fepois` | `fepois_irls`, `separation_mask` |
+| `sp.iv(absorb=)`, `sp.didregress`, `sp.iv.iv_diag`, weak-IV diagnostics | `demean_2d` |
+| `sp.regress(cluster=)` (one-way) | `cluster_meat` |
+| singleton pruning in `sp.fast` | `singleton_mask` |
+
+`sp.hdfe_ols` / `sp.Absorber`, `sp.panel` and the pyfixest-backed
+`sp.feols` do not use it.
+
+## Algorithm
+
+The fixed-effect projection is solved in the space of FE coefficients,
+as `fixest` does (Bergé 2018; `paper.bib` key `berge2018efficient`):
+
+* **Two FEs.** One Gauss-Seidel sweep needs only the group sums of the
+  column and the sparse cross-tabulation of the two FEs, so it costs
+  `O(nnz)` instead of `O(n)`; on panels where a unit meets few levels of
+  the other FE (worker x firm, firm x year) that is a small fraction of
+  the rows. The iteration runs on the coefficients of the smaller FE and
+  is accelerated with Irons-Tuck at every step.
+* **Three or more FEs.** The two FEs with the most levels form a block
+  solved by the two-FE routine (warm-started) inside an outer
+  Gauss-Seidel over the others, accelerated with Irons-Tuck. The inner
+  tolerance starts loose and follows the outer change down.
+* **Stopping rule.** Stop when the bound on the change of the residual
+  between two sweeps is at most `tol_abs + tol_rel * max|x|`, the rule of
+  the NumPy reference in `statspai.fast.demean`.
+* **IRLS.** The FE structure is built once per `fepois` call; each
+  iteration re-weights it and restarts every column from its FE
+  coefficients of the previous iteration.
+
+Columns are processed in parallel. The cluster meat sums fixed blocks of
+clusters in parallel and adds the block sums in order, so its result is
+the same at any thread count; the demeaning is per column and therefore
+also independent of the thread count.
+
+## Safety
+
+Every entry point validates lengths, contiguity and code ranges before
+running and raises `ValueError` on bad input. The crate is built with
+`panic = "unwind"`, so an unexpected panic surfaces as a Python exception
+instead of aborting the interpreter. The kernels run on their own thread
+pool (never Rayon's global one), which is rebuilt in a forked child.
+
+## Build from source
+
+```bash
+pip install maturin
+cd rust/statspai_hdfe
+maturin develop --release       # into the active environment
+maturin build --release         # a wheel in target/wheels
+PYO3_PYTHON=python cargo test --release
+```
+
+Wheels are abi3: one per platform serves every CPython >= 3.10. The
+`rust-hdfe` GitHub workflow tests the crate on Linux, macOS and Windows,
+builds wheels on demand, and publishes on an `hdfe-v*` tag.
+
+## Kernel API
+
+`statspai_hdfe.API_VERSION` names the interface level; StatsPAI ignores
+an extension older than the level it was written against
+(`statspai._rust_backend.MIN_API_VERSION`) and warns once.
+
+| Level | Crate | Change |
+| --- | --- | --- |
+| 1 | 0.1 – 0.7 | data-space alternating projections; inputs not validated |
+| 2 | 0.8 | coefficient-space solver; validated inputs; `fepois_irls` reports `singular` / `fe_converged`; thread-pool control; reproducible `cluster_meat` |
+
+## License
+
+MIT.

statspai_hdfe-0.8.0/pyproject.toml

@@ -0,0 +1,28 @@
+[build-system]
+requires = ["maturin>=1.5,<2.0"]
+build-backend = "maturin"
+
+[project]
+name = "statspai-hdfe"
+description = "Rust kernels for StatsPAI: HDFE demeaning, Poisson IRLS, cluster-robust meat"
+readme = "README.md"
+license = { text = "MIT" }
+authors = [{ name = "Biaoyue Wang", email = "brycew6m@stanford.edu" }]
+requires-python = ">=3.10"
+dependencies = ["numpy>=1.20"]
+dynamic = ["version"]
+classifiers = [
+    "License :: OSI Approved :: MIT License",
+    "Programming Language :: Rust",
+    "Programming Language :: Python :: 3",
+    "Programming Language :: Python :: Implementation :: CPython",
+    "Topic :: Scientific/Engineering :: Mathematics",
+]
+
+[project.urls]
+Homepage = "https://github.com/brycewang-stanford/StatsPAI"
+Source = "https://github.com/brycewang-stanford/StatsPAI/tree/main/rust/statspai_hdfe"
+
+[tool.maturin]
+module-name = "statspai_hdfe"
+features = ["extension-module"]