Add L1FS feature selection

bayesnet/feature_selection/L1FS.h

@@ -0,0 +1,83 @@
+// ***************************************************************
+// SPDX-FileCopyrightText: Copyright 2025 Ricardo Montañana Gómez
+// SPDX-FileType: SOURCE
+// SPDX-License-Identifier: MIT
+// ***************************************************************
+
+#ifndef L1FS_H
+#define L1FS_H
+#include <torch/torch.h>
+#include <vector>
+#include "bayesnet/feature_selection/FeatureSelect.h"
+
+namespace bayesnet {
+    /**
+     * L1-Regularized Feature Selection (L1FS)
+     *
+     * This class implements feature selection using L1-regularized linear models.
+     * For classification tasks, it uses one-vs-rest logistic regression with L1 penalty.
+     * For regression tasks, it uses Lasso regression.
+     *
+     * The L1 penalty induces sparsity in the model coefficients, effectively
+     * performing feature selection by setting irrelevant feature weights to zero.
+     */
+    class L1FS : public FeatureSelect {
+    public:
+        /**
+         * Constructor for L1FS
+         * @param samples n+1xm tensor where samples[-1] is the target variable
+         * @param features vector of feature names
+         * @param className name of the class/target variable
+         * @param maxFeatures maximum number of features to select (0 = all)
+         * @param classNumStates number of states for classification (ignored for regression)
+         * @param weights sample weights
+         * @param alpha L1 regularization strength (higher = more sparsity)
+         * @param maxIter maximum iterations for optimization
+         * @param tolerance convergence tolerance
+         * @param fitIntercept whether to fit an intercept term
+         */
+        L1FS(const torch::Tensor& samples,
+            const std::vector<std::string>& features,
+            const std::string& className,
+            const int maxFeatures,
+            const int classNumStates,
+            const torch::Tensor& weights,
+            const double alpha = 1.0,
+            const int maxIter = 1000,
+            const double tolerance = 1e-4,
+            const bool fitIntercept = true);
+
+        virtual ~L1FS() {};
+
+        void fit() override;
+
+        // Get the learned coefficients for each feature
+        std::vector<double> getCoefficients() const;
+
+    private:
+        double alpha;        // L1 regularization strength
+        int maxIter;         // Maximum iterations for optimization
+        double tolerance;    // Convergence tolerance
+        bool fitIntercept;   // Whether to fit intercept
+        bool isRegression;   // Task type (regression vs classification)
+
+        std::vector<double> coefficients;  // Learned coefficients
+
+        // Coordinate descent for Lasso regression
+        void fitLasso(const torch::Tensor& X, const torch::Tensor& y, const torch::Tensor& sampleWeights);
+
+        // Proximal gradient descent for L1-regularized logistic regression
+        void fitL1Logistic(const torch::Tensor& X, const torch::Tensor& y, const torch::Tensor& sampleWeights);
+
+        // Soft thresholding operator for L1 regularization
+        double softThreshold(double x, double lambda) const;
+
+        // Logistic function
+        torch::Tensor sigmoid(const torch::Tensor& z) const;
+
+        // Compute logistic loss
+        double logisticLoss(const torch::Tensor& X, const torch::Tensor& y,
+            const torch::Tensor& coef, const torch::Tensor& sampleWeights) const;
+    };
+}
+#endif