672 lines
27 KiB
Python
672 lines
27 KiB
Python
from itertools import product
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import numpy as np
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import pytest
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from numpy.testing import assert_allclose
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from scipy import optimize
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from scipy.special import factorial, xlogy
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from sklearn.dummy import DummyRegressor
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from sklearn.exceptions import UndefinedMetricWarning
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from sklearn.metrics import (
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d2_absolute_error_score,
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d2_pinball_score,
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d2_tweedie_score,
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explained_variance_score,
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make_scorer,
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max_error,
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mean_absolute_error,
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mean_absolute_percentage_error,
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mean_pinball_loss,
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mean_squared_error,
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mean_squared_log_error,
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mean_tweedie_deviance,
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median_absolute_error,
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r2_score,
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root_mean_squared_error,
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root_mean_squared_log_error,
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)
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from sklearn.metrics._regression import _check_reg_targets
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from sklearn.model_selection import GridSearchCV
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from sklearn.utils._testing import (
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assert_almost_equal,
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assert_array_almost_equal,
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assert_array_equal,
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)
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def test_regression_metrics(n_samples=50):
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y_true = np.arange(n_samples)
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y_pred = y_true + 1
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y_pred_2 = y_true - 1
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assert_almost_equal(mean_squared_error(y_true, y_pred), 1.0)
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assert_almost_equal(
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mean_squared_log_error(y_true, y_pred),
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mean_squared_error(np.log(1 + y_true), np.log(1 + y_pred)),
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)
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assert_almost_equal(mean_absolute_error(y_true, y_pred), 1.0)
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assert_almost_equal(mean_pinball_loss(y_true, y_pred), 0.5)
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assert_almost_equal(mean_pinball_loss(y_true, y_pred_2), 0.5)
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assert_almost_equal(mean_pinball_loss(y_true, y_pred, alpha=0.4), 0.6)
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assert_almost_equal(mean_pinball_loss(y_true, y_pred_2, alpha=0.4), 0.4)
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assert_almost_equal(median_absolute_error(y_true, y_pred), 1.0)
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mape = mean_absolute_percentage_error(y_true, y_pred)
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assert np.isfinite(mape)
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assert mape > 1e6
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assert_almost_equal(max_error(y_true, y_pred), 1.0)
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assert_almost_equal(r2_score(y_true, y_pred), 0.995, 2)
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assert_almost_equal(r2_score(y_true, y_pred, force_finite=False), 0.995, 2)
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assert_almost_equal(explained_variance_score(y_true, y_pred), 1.0)
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assert_almost_equal(
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explained_variance_score(y_true, y_pred, force_finite=False), 1.0
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)
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assert_almost_equal(
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mean_tweedie_deviance(y_true, y_pred, power=0),
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mean_squared_error(y_true, y_pred),
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)
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assert_almost_equal(
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d2_tweedie_score(y_true, y_pred, power=0), r2_score(y_true, y_pred)
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)
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dev_median = np.abs(y_true - np.median(y_true)).sum()
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assert_array_almost_equal(
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d2_absolute_error_score(y_true, y_pred),
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1 - np.abs(y_true - y_pred).sum() / dev_median,
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)
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alpha = 0.2
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pinball_loss = lambda y_true, y_pred, alpha: alpha * np.maximum(
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y_true - y_pred, 0
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) + (1 - alpha) * np.maximum(y_pred - y_true, 0)
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y_quantile = np.percentile(y_true, q=alpha * 100)
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assert_almost_equal(
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d2_pinball_score(y_true, y_pred, alpha=alpha),
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1
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- pinball_loss(y_true, y_pred, alpha).sum()
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/ pinball_loss(y_true, y_quantile, alpha).sum(),
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)
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assert_almost_equal(
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d2_absolute_error_score(y_true, y_pred),
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d2_pinball_score(y_true, y_pred, alpha=0.5),
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)
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# Tweedie deviance needs positive y_pred, except for p=0,
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# p>=2 needs positive y_true
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# results evaluated by sympy
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y_true = np.arange(1, 1 + n_samples)
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y_pred = 2 * y_true
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n = n_samples
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assert_almost_equal(
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mean_tweedie_deviance(y_true, y_pred, power=-1),
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5 / 12 * n * (n**2 + 2 * n + 1),
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)
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assert_almost_equal(
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mean_tweedie_deviance(y_true, y_pred, power=1), (n + 1) * (1 - np.log(2))
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)
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assert_almost_equal(
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mean_tweedie_deviance(y_true, y_pred, power=2), 2 * np.log(2) - 1
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)
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assert_almost_equal(
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mean_tweedie_deviance(y_true, y_pred, power=3 / 2),
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((6 * np.sqrt(2) - 8) / n) * np.sqrt(y_true).sum(),
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)
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assert_almost_equal(
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mean_tweedie_deviance(y_true, y_pred, power=3), np.sum(1 / y_true) / (4 * n)
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)
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dev_mean = 2 * np.mean(xlogy(y_true, 2 * y_true / (n + 1)))
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assert_almost_equal(
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d2_tweedie_score(y_true, y_pred, power=1),
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1 - (n + 1) * (1 - np.log(2)) / dev_mean,
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)
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dev_mean = 2 * np.log((n + 1) / 2) - 2 / n * np.log(factorial(n))
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assert_almost_equal(
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d2_tweedie_score(y_true, y_pred, power=2), 1 - (2 * np.log(2) - 1) / dev_mean
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)
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def test_root_mean_squared_error_multioutput_raw_value():
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# non-regression test for
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# https://github.com/scikit-learn/scikit-learn/pull/16323
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mse = mean_squared_error([[1]], [[10]], multioutput="raw_values")
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rmse = root_mean_squared_error([[1]], [[10]], multioutput="raw_values")
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assert np.sqrt(mse) == pytest.approx(rmse)
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def test_multioutput_regression():
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y_true = np.array([[1, 0, 0, 1], [0, 1, 1, 1], [1, 1, 0, 1]])
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y_pred = np.array([[0, 0, 0, 1], [1, 0, 1, 1], [0, 0, 0, 1]])
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error = mean_squared_error(y_true, y_pred)
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assert_almost_equal(error, (1.0 / 3 + 2.0 / 3 + 2.0 / 3) / 4.0)
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error = root_mean_squared_error(y_true, y_pred)
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assert_almost_equal(error, 0.454, decimal=2)
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error = mean_squared_log_error(y_true, y_pred)
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assert_almost_equal(error, 0.200, decimal=2)
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error = root_mean_squared_log_error(y_true, y_pred)
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assert_almost_equal(error, 0.315, decimal=2)
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# mean_absolute_error and mean_squared_error are equal because
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# it is a binary problem.
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error = mean_absolute_error(y_true, y_pred)
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assert_almost_equal(error, (1.0 + 2.0 / 3) / 4.0)
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error = mean_pinball_loss(y_true, y_pred)
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assert_almost_equal(error, (1.0 + 2.0 / 3) / 8.0)
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error = np.around(mean_absolute_percentage_error(y_true, y_pred), decimals=2)
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assert np.isfinite(error)
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assert error > 1e6
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error = median_absolute_error(y_true, y_pred)
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assert_almost_equal(error, (1.0 + 1.0) / 4.0)
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error = r2_score(y_true, y_pred, multioutput="variance_weighted")
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assert_almost_equal(error, 1.0 - 5.0 / 2)
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error = r2_score(y_true, y_pred, multioutput="uniform_average")
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assert_almost_equal(error, -0.875)
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score = d2_pinball_score(y_true, y_pred, alpha=0.5, multioutput="raw_values")
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raw_expected_score = [
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1
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- np.abs(y_true[:, i] - y_pred[:, i]).sum()
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/ np.abs(y_true[:, i] - np.median(y_true[:, i])).sum()
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for i in range(y_true.shape[1])
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]
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# in the last case, the denominator vanishes and hence we get nan,
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# but since the numerator vanishes as well the expected score is 1.0
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raw_expected_score = np.where(np.isnan(raw_expected_score), 1, raw_expected_score)
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assert_array_almost_equal(score, raw_expected_score)
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score = d2_pinball_score(y_true, y_pred, alpha=0.5, multioutput="uniform_average")
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assert_almost_equal(score, raw_expected_score.mean())
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# constant `y_true` with force_finite=True leads to 1. or 0.
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yc = [5.0, 5.0]
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error = r2_score(yc, [5.0, 5.0], multioutput="variance_weighted")
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assert_almost_equal(error, 1.0)
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error = r2_score(yc, [5.0, 5.1], multioutput="variance_weighted")
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assert_almost_equal(error, 0.0)
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# Setting force_finite=False results in the nan for 4th output propagating
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error = r2_score(
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y_true, y_pred, multioutput="variance_weighted", force_finite=False
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)
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assert_almost_equal(error, np.nan)
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error = r2_score(y_true, y_pred, multioutput="uniform_average", force_finite=False)
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assert_almost_equal(error, np.nan)
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# Dropping the 4th output to check `force_finite=False` for nominal
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y_true = y_true[:, :-1]
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y_pred = y_pred[:, :-1]
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error = r2_score(y_true, y_pred, multioutput="variance_weighted")
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error2 = r2_score(
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y_true, y_pred, multioutput="variance_weighted", force_finite=False
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)
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assert_almost_equal(error, error2)
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error = r2_score(y_true, y_pred, multioutput="uniform_average")
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error2 = r2_score(y_true, y_pred, multioutput="uniform_average", force_finite=False)
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assert_almost_equal(error, error2)
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# constant `y_true` with force_finite=False leads to NaN or -Inf.
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error = r2_score(
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yc, [5.0, 5.0], multioutput="variance_weighted", force_finite=False
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)
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assert_almost_equal(error, np.nan)
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error = r2_score(
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yc, [5.0, 6.0], multioutput="variance_weighted", force_finite=False
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)
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assert_almost_equal(error, -np.inf)
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def test_regression_metrics_at_limits():
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# Single-sample case
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# Note: for r2 and d2_tweedie see also test_regression_single_sample
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assert_almost_equal(mean_squared_error([0.0], [0.0]), 0.0)
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assert_almost_equal(root_mean_squared_error([0.0], [0.0]), 0.0)
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assert_almost_equal(mean_squared_log_error([0.0], [0.0]), 0.0)
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assert_almost_equal(mean_absolute_error([0.0], [0.0]), 0.0)
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assert_almost_equal(mean_pinball_loss([0.0], [0.0]), 0.0)
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assert_almost_equal(mean_absolute_percentage_error([0.0], [0.0]), 0.0)
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assert_almost_equal(median_absolute_error([0.0], [0.0]), 0.0)
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assert_almost_equal(max_error([0.0], [0.0]), 0.0)
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assert_almost_equal(explained_variance_score([0.0], [0.0]), 1.0)
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# Perfect cases
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assert_almost_equal(r2_score([0.0, 1], [0.0, 1]), 1.0)
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assert_almost_equal(d2_pinball_score([0.0, 1], [0.0, 1]), 1.0)
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# Non-finite cases
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# R² and explained variance have a fix by default for non-finite cases
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for s in (r2_score, explained_variance_score):
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assert_almost_equal(s([0, 0], [1, -1]), 0.0)
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assert_almost_equal(s([0, 0], [1, -1], force_finite=False), -np.inf)
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assert_almost_equal(s([1, 1], [1, 1]), 1.0)
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assert_almost_equal(s([1, 1], [1, 1], force_finite=False), np.nan)
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msg = (
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"Mean Squared Logarithmic Error cannot be used when targets "
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"contain negative values."
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)
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with pytest.raises(ValueError, match=msg):
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mean_squared_log_error([-1.0], [-1.0])
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msg = (
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"Mean Squared Logarithmic Error cannot be used when targets "
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"contain negative values."
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)
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with pytest.raises(ValueError, match=msg):
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mean_squared_log_error([1.0, 2.0, 3.0], [1.0, -2.0, 3.0])
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msg = (
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"Mean Squared Logarithmic Error cannot be used when targets "
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"contain negative values."
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)
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with pytest.raises(ValueError, match=msg):
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mean_squared_log_error([1.0, -2.0, 3.0], [1.0, 2.0, 3.0])
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msg = (
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"Root Mean Squared Logarithmic Error cannot be used when targets "
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"contain negative values."
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)
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with pytest.raises(ValueError, match=msg):
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root_mean_squared_log_error([1.0, -2.0, 3.0], [1.0, 2.0, 3.0])
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# Tweedie deviance error
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power = -1.2
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assert_allclose(
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mean_tweedie_deviance([0], [1.0], power=power), 2 / (2 - power), rtol=1e-3
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)
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msg = "can only be used on strictly positive y_pred."
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with pytest.raises(ValueError, match=msg):
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mean_tweedie_deviance([0.0], [0.0], power=power)
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with pytest.raises(ValueError, match=msg):
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d2_tweedie_score([0.0] * 2, [0.0] * 2, power=power)
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assert_almost_equal(mean_tweedie_deviance([0.0], [0.0], power=0), 0.0, 2)
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power = 1.0
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msg = "only be used on non-negative y and strictly positive y_pred."
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with pytest.raises(ValueError, match=msg):
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mean_tweedie_deviance([0.0], [0.0], power=power)
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with pytest.raises(ValueError, match=msg):
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d2_tweedie_score([0.0] * 2, [0.0] * 2, power=power)
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power = 1.5
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assert_allclose(mean_tweedie_deviance([0.0], [1.0], power=power), 2 / (2 - power))
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msg = "only be used on non-negative y and strictly positive y_pred."
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with pytest.raises(ValueError, match=msg):
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mean_tweedie_deviance([0.0], [0.0], power=power)
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with pytest.raises(ValueError, match=msg):
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d2_tweedie_score([0.0] * 2, [0.0] * 2, power=power)
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power = 2.0
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assert_allclose(mean_tweedie_deviance([1.0], [1.0], power=power), 0.00, atol=1e-8)
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msg = "can only be used on strictly positive y and y_pred."
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with pytest.raises(ValueError, match=msg):
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mean_tweedie_deviance([0.0], [0.0], power=power)
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with pytest.raises(ValueError, match=msg):
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d2_tweedie_score([0.0] * 2, [0.0] * 2, power=power)
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power = 3.0
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assert_allclose(mean_tweedie_deviance([1.0], [1.0], power=power), 0.00, atol=1e-8)
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msg = "can only be used on strictly positive y and y_pred."
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with pytest.raises(ValueError, match=msg):
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mean_tweedie_deviance([0.0], [0.0], power=power)
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with pytest.raises(ValueError, match=msg):
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d2_tweedie_score([0.0] * 2, [0.0] * 2, power=power)
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def test__check_reg_targets():
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# All of length 3
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EXAMPLES = [
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("continuous", [1, 2, 3], 1),
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("continuous", [[1], [2], [3]], 1),
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("continuous-multioutput", [[1, 1], [2, 2], [3, 1]], 2),
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("continuous-multioutput", [[5, 1], [4, 2], [3, 1]], 2),
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("continuous-multioutput", [[1, 3, 4], [2, 2, 2], [3, 1, 1]], 3),
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]
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for (type1, y1, n_out1), (type2, y2, n_out2) in product(EXAMPLES, repeat=2):
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if type1 == type2 and n_out1 == n_out2:
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y_type, y_check1, y_check2, multioutput = _check_reg_targets(y1, y2, None)
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assert type1 == y_type
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if type1 == "continuous":
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assert_array_equal(y_check1, np.reshape(y1, (-1, 1)))
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assert_array_equal(y_check2, np.reshape(y2, (-1, 1)))
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else:
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assert_array_equal(y_check1, y1)
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assert_array_equal(y_check2, y2)
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else:
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with pytest.raises(ValueError):
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_check_reg_targets(y1, y2, None)
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def test__check_reg_targets_exception():
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invalid_multioutput = "this_value_is_not_valid"
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expected_message = (
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"Allowed 'multioutput' string values are.+You provided multioutput={!r}".format(
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invalid_multioutput
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)
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)
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with pytest.raises(ValueError, match=expected_message):
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_check_reg_targets([1, 2, 3], [[1], [2], [3]], invalid_multioutput)
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def test_regression_multioutput_array():
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y_true = [[1, 2], [2.5, -1], [4.5, 3], [5, 7]]
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y_pred = [[1, 1], [2, -1], [5, 4], [5, 6.5]]
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mse = mean_squared_error(y_true, y_pred, multioutput="raw_values")
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mae = mean_absolute_error(y_true, y_pred, multioutput="raw_values")
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pbl = mean_pinball_loss(y_true, y_pred, multioutput="raw_values")
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mape = mean_absolute_percentage_error(y_true, y_pred, multioutput="raw_values")
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r = r2_score(y_true, y_pred, multioutput="raw_values")
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evs = explained_variance_score(y_true, y_pred, multioutput="raw_values")
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d2ps = d2_pinball_score(y_true, y_pred, alpha=0.5, multioutput="raw_values")
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evs2 = explained_variance_score(
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y_true, y_pred, multioutput="raw_values", force_finite=False
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)
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assert_array_almost_equal(mse, [0.125, 0.5625], decimal=2)
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assert_array_almost_equal(mae, [0.25, 0.625], decimal=2)
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assert_array_almost_equal(pbl, [0.25 / 2, 0.625 / 2], decimal=2)
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assert_array_almost_equal(mape, [0.0778, 0.2262], decimal=2)
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assert_array_almost_equal(r, [0.95, 0.93], decimal=2)
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assert_array_almost_equal(evs, [0.95, 0.93], decimal=2)
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assert_array_almost_equal(d2ps, [0.833, 0.722], decimal=2)
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assert_array_almost_equal(evs2, [0.95, 0.93], decimal=2)
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# mean_absolute_error and mean_squared_error are equal because
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# it is a binary problem.
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y_true = [[0, 0]] * 4
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y_pred = [[1, 1]] * 4
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mse = mean_squared_error(y_true, y_pred, multioutput="raw_values")
|
|
mae = mean_absolute_error(y_true, y_pred, multioutput="raw_values")
|
|
pbl = mean_pinball_loss(y_true, y_pred, multioutput="raw_values")
|
|
r = r2_score(y_true, y_pred, multioutput="raw_values")
|
|
d2ps = d2_pinball_score(y_true, y_pred, multioutput="raw_values")
|
|
assert_array_almost_equal(mse, [1.0, 1.0], decimal=2)
|
|
assert_array_almost_equal(mae, [1.0, 1.0], decimal=2)
|
|
assert_array_almost_equal(pbl, [0.5, 0.5], decimal=2)
|
|
assert_array_almost_equal(r, [0.0, 0.0], decimal=2)
|
|
assert_array_almost_equal(d2ps, [0.0, 0.0], decimal=2)
|
|
|
|
r = r2_score([[0, -1], [0, 1]], [[2, 2], [1, 1]], multioutput="raw_values")
|
|
assert_array_almost_equal(r, [0, -3.5], decimal=2)
|
|
assert np.mean(r) == r2_score(
|
|
[[0, -1], [0, 1]], [[2, 2], [1, 1]], multioutput="uniform_average"
|
|
)
|
|
evs = explained_variance_score(
|
|
[[0, -1], [0, 1]], [[2, 2], [1, 1]], multioutput="raw_values"
|
|
)
|
|
assert_array_almost_equal(evs, [0, -1.25], decimal=2)
|
|
evs2 = explained_variance_score(
|
|
[[0, -1], [0, 1]],
|
|
[[2, 2], [1, 1]],
|
|
multioutput="raw_values",
|
|
force_finite=False,
|
|
)
|
|
assert_array_almost_equal(evs2, [-np.inf, -1.25], decimal=2)
|
|
|
|
# Checking for the condition in which both numerator and denominator is
|
|
# zero.
|
|
y_true = [[1, 3], [1, 2]]
|
|
y_pred = [[1, 4], [1, 1]]
|
|
r2 = r2_score(y_true, y_pred, multioutput="raw_values")
|
|
assert_array_almost_equal(r2, [1.0, -3.0], decimal=2)
|
|
assert np.mean(r2) == r2_score(y_true, y_pred, multioutput="uniform_average")
|
|
r22 = r2_score(y_true, y_pred, multioutput="raw_values", force_finite=False)
|
|
assert_array_almost_equal(r22, [np.nan, -3.0], decimal=2)
|
|
assert_almost_equal(
|
|
np.mean(r22),
|
|
r2_score(y_true, y_pred, multioutput="uniform_average", force_finite=False),
|
|
)
|
|
|
|
evs = explained_variance_score(y_true, y_pred, multioutput="raw_values")
|
|
assert_array_almost_equal(evs, [1.0, -3.0], decimal=2)
|
|
assert np.mean(evs) == explained_variance_score(y_true, y_pred)
|
|
d2ps = d2_pinball_score(y_true, y_pred, alpha=0.5, multioutput="raw_values")
|
|
assert_array_almost_equal(d2ps, [1.0, -1.0], decimal=2)
|
|
evs2 = explained_variance_score(
|
|
y_true, y_pred, multioutput="raw_values", force_finite=False
|
|
)
|
|
assert_array_almost_equal(evs2, [np.nan, -3.0], decimal=2)
|
|
assert_almost_equal(
|
|
np.mean(evs2), explained_variance_score(y_true, y_pred, force_finite=False)
|
|
)
|
|
|
|
# Handling msle separately as it does not accept negative inputs.
|
|
y_true = np.array([[0.5, 1], [1, 2], [7, 6]])
|
|
y_pred = np.array([[0.5, 2], [1, 2.5], [8, 8]])
|
|
msle = mean_squared_log_error(y_true, y_pred, multioutput="raw_values")
|
|
msle2 = mean_squared_error(
|
|
np.log(1 + y_true), np.log(1 + y_pred), multioutput="raw_values"
|
|
)
|
|
assert_array_almost_equal(msle, msle2, decimal=2)
|
|
|
|
|
|
def test_regression_custom_weights():
|
|
y_true = [[1, 2], [2.5, -1], [4.5, 3], [5, 7]]
|
|
y_pred = [[1, 1], [2, -1], [5, 4], [5, 6.5]]
|
|
|
|
msew = mean_squared_error(y_true, y_pred, multioutput=[0.4, 0.6])
|
|
rmsew = root_mean_squared_error(y_true, y_pred, multioutput=[0.4, 0.6])
|
|
maew = mean_absolute_error(y_true, y_pred, multioutput=[0.4, 0.6])
|
|
mapew = mean_absolute_percentage_error(y_true, y_pred, multioutput=[0.4, 0.6])
|
|
rw = r2_score(y_true, y_pred, multioutput=[0.4, 0.6])
|
|
evsw = explained_variance_score(y_true, y_pred, multioutput=[0.4, 0.6])
|
|
d2psw = d2_pinball_score(y_true, y_pred, alpha=0.5, multioutput=[0.4, 0.6])
|
|
evsw2 = explained_variance_score(
|
|
y_true, y_pred, multioutput=[0.4, 0.6], force_finite=False
|
|
)
|
|
|
|
assert_almost_equal(msew, 0.39, decimal=2)
|
|
assert_almost_equal(rmsew, 0.59, decimal=2)
|
|
assert_almost_equal(maew, 0.475, decimal=3)
|
|
assert_almost_equal(mapew, 0.1668, decimal=2)
|
|
assert_almost_equal(rw, 0.94, decimal=2)
|
|
assert_almost_equal(evsw, 0.94, decimal=2)
|
|
assert_almost_equal(d2psw, 0.766, decimal=2)
|
|
assert_almost_equal(evsw2, 0.94, decimal=2)
|
|
|
|
# Handling msle separately as it does not accept negative inputs.
|
|
y_true = np.array([[0.5, 1], [1, 2], [7, 6]])
|
|
y_pred = np.array([[0.5, 2], [1, 2.5], [8, 8]])
|
|
msle = mean_squared_log_error(y_true, y_pred, multioutput=[0.3, 0.7])
|
|
msle2 = mean_squared_error(
|
|
np.log(1 + y_true), np.log(1 + y_pred), multioutput=[0.3, 0.7]
|
|
)
|
|
assert_almost_equal(msle, msle2, decimal=2)
|
|
|
|
|
|
@pytest.mark.parametrize("metric", [r2_score, d2_tweedie_score, d2_pinball_score])
|
|
def test_regression_single_sample(metric):
|
|
y_true = [0]
|
|
y_pred = [1]
|
|
warning_msg = "not well-defined with less than two samples."
|
|
|
|
# Trigger the warning
|
|
with pytest.warns(UndefinedMetricWarning, match=warning_msg):
|
|
score = metric(y_true, y_pred)
|
|
assert np.isnan(score)
|
|
|
|
|
|
def test_tweedie_deviance_continuity():
|
|
n_samples = 100
|
|
|
|
y_true = np.random.RandomState(0).rand(n_samples) + 0.1
|
|
y_pred = np.random.RandomState(1).rand(n_samples) + 0.1
|
|
|
|
assert_allclose(
|
|
mean_tweedie_deviance(y_true, y_pred, power=0 - 1e-10),
|
|
mean_tweedie_deviance(y_true, y_pred, power=0),
|
|
)
|
|
|
|
# Ws we get closer to the limit, with 1e-12 difference the absolute
|
|
# tolerance to pass the below check increases. There are likely
|
|
# numerical precision issues on the edges of different definition
|
|
# regions.
|
|
assert_allclose(
|
|
mean_tweedie_deviance(y_true, y_pred, power=1 + 1e-10),
|
|
mean_tweedie_deviance(y_true, y_pred, power=1),
|
|
atol=1e-6,
|
|
)
|
|
|
|
assert_allclose(
|
|
mean_tweedie_deviance(y_true, y_pred, power=2 - 1e-10),
|
|
mean_tweedie_deviance(y_true, y_pred, power=2),
|
|
atol=1e-6,
|
|
)
|
|
|
|
assert_allclose(
|
|
mean_tweedie_deviance(y_true, y_pred, power=2 + 1e-10),
|
|
mean_tweedie_deviance(y_true, y_pred, power=2),
|
|
atol=1e-6,
|
|
)
|
|
|
|
|
|
def test_mean_absolute_percentage_error():
|
|
random_number_generator = np.random.RandomState(42)
|
|
y_true = random_number_generator.exponential(size=100)
|
|
y_pred = 1.2 * y_true
|
|
assert mean_absolute_percentage_error(y_true, y_pred) == pytest.approx(0.2)
|
|
|
|
|
|
@pytest.mark.parametrize(
|
|
"distribution", ["normal", "lognormal", "exponential", "uniform"]
|
|
)
|
|
@pytest.mark.parametrize("target_quantile", [0.05, 0.5, 0.75])
|
|
def test_mean_pinball_loss_on_constant_predictions(distribution, target_quantile):
|
|
if not hasattr(np, "quantile"):
|
|
pytest.skip(
|
|
"This test requires a more recent version of numpy "
|
|
"with support for np.quantile."
|
|
)
|
|
|
|
# Check that the pinball loss is minimized by the empirical quantile.
|
|
n_samples = 3000
|
|
rng = np.random.RandomState(42)
|
|
data = getattr(rng, distribution)(size=n_samples)
|
|
|
|
# Compute the best possible pinball loss for any constant predictor:
|
|
best_pred = np.quantile(data, target_quantile)
|
|
best_constant_pred = np.full(n_samples, fill_value=best_pred)
|
|
best_pbl = mean_pinball_loss(data, best_constant_pred, alpha=target_quantile)
|
|
|
|
# Evaluate the loss on a grid of quantiles
|
|
candidate_predictions = np.quantile(data, np.linspace(0, 1, 100))
|
|
for pred in candidate_predictions:
|
|
# Compute the pinball loss of a constant predictor:
|
|
constant_pred = np.full(n_samples, fill_value=pred)
|
|
pbl = mean_pinball_loss(data, constant_pred, alpha=target_quantile)
|
|
|
|
# Check that the loss of this constant predictor is greater or equal
|
|
# than the loss of using the optimal quantile (up to machine
|
|
# precision):
|
|
assert pbl >= best_pbl - np.finfo(best_pbl.dtype).eps
|
|
|
|
# Check that the value of the pinball loss matches the analytical
|
|
# formula.
|
|
expected_pbl = (pred - data[data < pred]).sum() * (1 - target_quantile) + (
|
|
data[data >= pred] - pred
|
|
).sum() * target_quantile
|
|
expected_pbl /= n_samples
|
|
assert_almost_equal(expected_pbl, pbl)
|
|
|
|
# Check that we can actually recover the target_quantile by minimizing the
|
|
# pinball loss w.r.t. the constant prediction quantile.
|
|
def objective_func(x):
|
|
constant_pred = np.full(n_samples, fill_value=x)
|
|
return mean_pinball_loss(data, constant_pred, alpha=target_quantile)
|
|
|
|
result = optimize.minimize(objective_func, data.mean(), method="Nelder-Mead")
|
|
assert result.success
|
|
# The minimum is not unique with limited data, hence the large tolerance.
|
|
assert result.x == pytest.approx(best_pred, rel=1e-2)
|
|
assert result.fun == pytest.approx(best_pbl)
|
|
|
|
|
|
def test_dummy_quantile_parameter_tuning():
|
|
# Integration test to check that it is possible to use the pinball loss to
|
|
# tune the hyperparameter of a quantile regressor. This is conceptually
|
|
# similar to the previous test but using the scikit-learn estimator and
|
|
# scoring API instead.
|
|
n_samples = 1000
|
|
rng = np.random.RandomState(0)
|
|
X = rng.normal(size=(n_samples, 5)) # Ignored
|
|
y = rng.exponential(size=n_samples)
|
|
|
|
all_quantiles = [0.05, 0.1, 0.25, 0.5, 0.75, 0.9, 0.95]
|
|
for alpha in all_quantiles:
|
|
neg_mean_pinball_loss = make_scorer(
|
|
mean_pinball_loss,
|
|
alpha=alpha,
|
|
greater_is_better=False,
|
|
)
|
|
regressor = DummyRegressor(strategy="quantile", quantile=0.25)
|
|
grid_search = GridSearchCV(
|
|
regressor,
|
|
param_grid=dict(quantile=all_quantiles),
|
|
scoring=neg_mean_pinball_loss,
|
|
).fit(X, y)
|
|
|
|
assert grid_search.best_params_["quantile"] == pytest.approx(alpha)
|
|
|
|
|
|
def test_pinball_loss_relation_with_mae():
|
|
# Test that mean_pinball loss with alpha=0.5 if half of mean absolute error
|
|
rng = np.random.RandomState(714)
|
|
n = 100
|
|
y_true = rng.normal(size=n)
|
|
y_pred = y_true.copy() + rng.uniform(n)
|
|
assert (
|
|
mean_absolute_error(y_true, y_pred)
|
|
== mean_pinball_loss(y_true, y_pred, alpha=0.5) * 2
|
|
)
|
|
|
|
|
|
# TODO(1.6): remove this test
|
|
@pytest.mark.parametrize("metric", [mean_squared_error, mean_squared_log_error])
|
|
def test_mean_squared_deprecation_squared(metric):
|
|
"""Check the deprecation warning of the squared parameter"""
|
|
depr_msg = "'squared' is deprecated in version 1.4 and will be removed in 1.6."
|
|
y_true, y_pred = np.arange(10), np.arange(1, 11)
|
|
with pytest.warns(FutureWarning, match=depr_msg):
|
|
metric(y_true, y_pred, squared=False)
|
|
|
|
|
|
# TODO(1.6): remove this test
|
|
@pytest.mark.filterwarnings("ignore:'squared' is deprecated")
|
|
@pytest.mark.parametrize(
|
|
"old_func, new_func",
|
|
[
|
|
(mean_squared_error, root_mean_squared_error),
|
|
(mean_squared_log_error, root_mean_squared_log_error),
|
|
],
|
|
)
|
|
def test_rmse_rmsle_parameter(old_func, new_func):
|
|
# Check that the new rmse/rmsle function is equivalent to
|
|
# the old mse/msle + squared=False function.
|
|
y_true = np.array([[1, 0, 0, 1], [0, 1, 1, 1], [1, 1, 0, 1]])
|
|
y_pred = np.array([[0, 0, 0, 1], [1, 0, 1, 1], [0, 0, 0, 1]])
|
|
y_true = np.array([[0.5, 1], [1, 2], [7, 6]])
|
|
y_pred = np.array([[0.5, 2], [1, 2.5], [8, 8]])
|
|
sw = np.arange(len(y_true))
|
|
|
|
expected = old_func(y_true, y_pred, squared=False)
|
|
actual = new_func(y_true, y_pred)
|
|
assert_allclose(expected, actual)
|
|
|
|
expected = old_func(y_true, y_pred, sample_weight=sw, squared=False)
|
|
actual = new_func(y_true, y_pred, sample_weight=sw)
|
|
assert_allclose(expected, actual)
|
|
|
|
expected = old_func(y_true, y_pred, multioutput="raw_values", squared=False)
|
|
actual = new_func(y_true, y_pred, multioutput="raw_values")
|
|
assert_allclose(expected, actual)
|
|
|
|
expected = old_func(
|
|
y_true, y_pred, sample_weight=sw, multioutput="raw_values", squared=False
|
|
)
|
|
actual = new_func(y_true, y_pred, sample_weight=sw, multioutput="raw_values")
|
|
assert_allclose(expected, actual)
|