Demo code for the LassoNet method proposed in "LassoNet: A Neural Network with Feature Sparsity".

Much work has been done recently to make neural networks more interpretable, and one obvious approach is to arrange for the network to use only a subset of the available features. In linear models, Lasso (or L1-regularized) regression assigns zero weights to the most irrelevant or redundant features, and is widely used in data science. However the Lasso only applies to linear models. Here we introduce LassoNet, a neural network framework with global feature selection. Our approach enforces a hierarchy: specifically a feature can participate in a hidden unit only if its linear representative is active. Unlike other approaches to feature selection for neural nets, our method uses a modified objective function with constraints, and so integrates feature selection with the parameter learning directly. As a result, it delivers an entire regularization path of solutions with a range of feature sparsity. On systematic experiments, LassoNet significantly outperforms state-of-the-art methods for feature selection and regression. The LassoNet method uses projected proximal gradient descent, and generalizes directly to deep networks. It can be implemented by adding just a few lines of code to a standard neural network.

• pytorch 1.3.1
• matplotlib 3.1.1

First install :

cd core
pip install .

Then run the following python script for a simple demonstration of LassoNet on the Mice Dataset:

python examples/run_demo_mice.py

See core/lassonet/lassonet_trainer.py and core/lassonet/models.py for details.

One png file will be saved in your directory, which is a visualization of the results on the MICE dataset. An interactive version is provided in the notebook examples/run_demo_mice.ipynb.