Fast Numerical Optimization for Genome Sequencing Data in Population Biobanks

We develop two efficient solvers for optimization problems arising from large-scale regularized regressions on millions of genetic variants sequenced from hundreds of thousands of individuals. These genetic variants are encoded by the values in the set {0, 1, 2, NA}. We take advantage of this fact and use two bits to represent each entry in a genetic matrix, which reduces memory requirement by a factor of 32 compared to a double precision floating point representation. Using this representation, we implemented an iteratively reweighted least square algorithm to solve Lasso regressions on genetic matrices, which we name snpnet-2.0. When the dataset contains many rare variants, the predictors can be encoded in a sparse matrix. We utilize the sparsity in the predictor matrix to further reduce memory requirement and computational speed. Our sparse genetic matrix implementation uses both the compact 2-bit representation and a simplified version of compressed sparse block format so that matrix-vector multiplications can be effectively parallelized on multiple CPU cores. To demonstrate the effectiveness of this representation, we implement an accelerated proximal gradient method to solve group Lasso on these sparse genetic matrices. This solver is named sparse-snpnet, and will also be included as part of snpnet R package. Our implementation is able to solve group Lasso problems on sparse genetic matrices with more than 1, 000, 000 columns and almost 100, 000 rows within 10 minutes and using less than 32GB of memory.