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skinny-glms

Bare bones IRLS solver designed for speed, rcomposibility, and extensibility.

Installation

    pip install git+https://github.com/agmuth/skinny-glms.git

Examples

    examples/

Speed Comparison

Family Link n p skinnyglms_micro_secs statsmodels_micro_secs
Gaussian Identity 10 0 22 519
Binomial Logit 10 0 130 510
Gamma Log 10 0 139 1183
Poisson Log 10 0 142 701
InverseGaussian Log 10 0 137 1247
Gaussian Identity 10 1 22 530
Binomial Logit 10 1 167 704
Gamma Log 10 1 214 2115
Poisson Log 10 1 169 880
InverseGaussian Log 10 1 212 3736
Gaussian Identity 100 0 21 534
Binomial Logit 100 0 148 861
Gamma Log 100 0 154 1254
Poisson Log 100 0 159 720
InverseGaussian Log 100 0 160 1310
Gaussian Identity 100 1 24 557
Binomial Logit 100 1 152 895
Gamma Log 100 1 164 1791
Poisson Log 100 1 166 907
InverseGaussian Log 100 1 198 4427
Gaussian Identity 100 10 32 704
Binomial Logit 100 10 255 1162
Gamma Log 100 10 1700 12393
Poisson Log 100 10 218 1103
InverseGaussian Log 100 10 3688 17262
Gaussian Identity 1000 0 29 792
Binomial Logit 1000 0 335 1080
Gamma Log 1000 0 326 1981
Poisson Log 1000 0 333 1057
InverseGaussian Log 1000 0 396 2103
Gaussian Identity 1000 1 35 914
Binomial Logit 1000 1 348 1178
Gamma Log 1000 1 343 2661
Poisson Log 1000 1 369 1192
InverseGaussian Log 1000 1 418 3050
Gaussian Identity 1000 10 87 1949
Binomial Logit 1000 10 930 3036
Gamma Log 1000 10 1141 11031
Poisson Log 1000 10 878 3509
InverseGaussian Log 1000 10 1327 14423
Gaussian Identity 1000 100 752 19381
Binomial Logit 1000 100 5122 24817
Gamma Log 1000 100 12195 285360
Poisson Log 1000 100 5062 27484
InverseGaussian Log 1000 100 87981 -1

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