Quantco / Quantco/tabmat

Consider support ELLPACK format

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enhancement
Dominant language
Python
Stars
140
Forks
10
Avg merge
18h 17m
Merged PRs (30d)
2

Description

A lot of features matrices in practice have small number of non-zero entries per row. E.g. data that come from one-hot encoding have exactly one non-zero entry per row. These can be handled nicely by CategoricalMatrix if all the non-zero entries are one. However, this is not always the case, e.g. data that comes from sklearn.preprocessing.SplineTransformer. These would be nicely supported by ELLPACK format which is a natural generalization of CategoricalMatrix.

Another option is to support Sliced Ellpack (SELL) format which can support general sparse matrix relatively well and make SplitMatrix consists of just a dense matrix and a SELL matrix.

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First steps

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Research direction

Review CategoricalMatrix and SplitMatrix as the existing entry points for this proposal, then compare the ELLPACK and SELL alternatives and their implications for sparse matrix operations. Define which format is in scope and the tests needed; done means the selected representation supports the intended matrix use cases.

Written by the indexing model from the issue text.

Assessment

Tech stack
python, scikit-learn
Domain
data, performance
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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