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Intelegentny_Pszczelarz/.venv/Lib/site-packages/sklearn/linear_model/_ridge.py
Ulad 36e4e4f8a5 feature: "ANN commit 2"
2023-06-19 00:49:18 +02:00

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"""
Ridge regression
"""
# Author: Mathieu Blondel <mathieu@mblondel.org>
# Reuben Fletcher-Costin <reuben.fletchercostin@gmail.com>
# Fabian Pedregosa <fabian@fseoane.net>
# Michael Eickenberg <michael.eickenberg@nsup.org>
# License: BSD 3 clause
from abc import ABCMeta, abstractmethod
from functools import partial
from numbers import Integral, Real
import warnings
import numpy as np
import numbers
from scipy import linalg
from scipy import sparse
from scipy import optimize
from scipy.sparse import linalg as sp_linalg
from ._base import LinearClassifierMixin, LinearModel
from ._base import _preprocess_data, _rescale_data
from ._sag import sag_solver
from ..base import MultiOutputMixin, RegressorMixin, is_classifier
from ..utils.extmath import safe_sparse_dot
from ..utils.extmath import row_norms
from ..utils import check_array
from ..utils import check_consistent_length
from ..utils import check_scalar
from ..utils import compute_sample_weight
from ..utils import column_or_1d
from ..utils.validation import check_is_fitted
from ..utils.validation import _check_sample_weight
from ..utils._param_validation import Interval
from ..utils._param_validation import StrOptions
from ..preprocessing import LabelBinarizer
from ..model_selection import GridSearchCV
from ..metrics import check_scoring
from ..metrics import get_scorer_names
from ..exceptions import ConvergenceWarning
from ..utils.sparsefuncs import mean_variance_axis
def _get_rescaled_operator(X, X_offset, sample_weight_sqrt):
"""Create LinearOperator for matrix products with implicit centering.
Matrix product `LinearOperator @ coef` returns `(X - X_offset) @ coef`.
"""
def matvec(b):
return X.dot(b) - sample_weight_sqrt * b.dot(X_offset)
def rmatvec(b):
return X.T.dot(b) - X_offset * b.dot(sample_weight_sqrt)
X1 = sparse.linalg.LinearOperator(shape=X.shape, matvec=matvec, rmatvec=rmatvec)
return X1
def _solve_sparse_cg(
X,
y,
alpha,
max_iter=None,
tol=1e-4,
verbose=0,
X_offset=None,
X_scale=None,
sample_weight_sqrt=None,
):
if sample_weight_sqrt is None:
sample_weight_sqrt = np.ones(X.shape[0], dtype=X.dtype)
n_samples, n_features = X.shape
if X_offset is None or X_scale is None:
X1 = sp_linalg.aslinearoperator(X)
else:
X_offset_scale = X_offset / X_scale
X1 = _get_rescaled_operator(X, X_offset_scale, sample_weight_sqrt)
coefs = np.empty((y.shape[1], n_features), dtype=X.dtype)
if n_features > n_samples:
def create_mv(curr_alpha):
def _mv(x):
return X1.matvec(X1.rmatvec(x)) + curr_alpha * x
return _mv
else:
def create_mv(curr_alpha):
def _mv(x):
return X1.rmatvec(X1.matvec(x)) + curr_alpha * x
return _mv
for i in range(y.shape[1]):
y_column = y[:, i]
mv = create_mv(alpha[i])
if n_features > n_samples:
# kernel ridge
# w = X.T * inv(X X^t + alpha*Id) y
C = sp_linalg.LinearOperator(
(n_samples, n_samples), matvec=mv, dtype=X.dtype
)
# FIXME atol
try:
coef, info = sp_linalg.cg(C, y_column, tol=tol, atol="legacy")
except TypeError:
# old scipy
coef, info = sp_linalg.cg(C, y_column, tol=tol)
coefs[i] = X1.rmatvec(coef)
else:
# linear ridge
# w = inv(X^t X + alpha*Id) * X.T y
y_column = X1.rmatvec(y_column)
C = sp_linalg.LinearOperator(
(n_features, n_features), matvec=mv, dtype=X.dtype
)
# FIXME atol
try:
coefs[i], info = sp_linalg.cg(
C, y_column, maxiter=max_iter, tol=tol, atol="legacy"
)
except TypeError:
# old scipy
coefs[i], info = sp_linalg.cg(C, y_column, maxiter=max_iter, tol=tol)
if info < 0:
raise ValueError("Failed with error code %d" % info)
if max_iter is None and info > 0 and verbose:
warnings.warn(
"sparse_cg did not converge after %d iterations." % info,
ConvergenceWarning,
)
return coefs
def _solve_lsqr(
X,
y,
*,
alpha,
fit_intercept=True,
max_iter=None,
tol=1e-4,
X_offset=None,
X_scale=None,
sample_weight_sqrt=None,
):
"""Solve Ridge regression via LSQR.
We expect that y is always mean centered.
If X is dense, we expect it to be mean centered such that we can solve
||y - Xw||_2^2 + alpha * ||w||_2^2
If X is sparse, we expect X_offset to be given such that we can solve
||y - (X - X_offset)w||_2^2 + alpha * ||w||_2^2
With sample weights S=diag(sample_weight), this becomes
||sqrt(S) (y - (X - X_offset) w)||_2^2 + alpha * ||w||_2^2
and we expect y and X to already be rescaled, i.e. sqrt(S) @ y, sqrt(S) @ X. In
this case, X_offset is the sample_weight weighted mean of X before scaling by
sqrt(S). The objective then reads
||y - (X - sqrt(S) X_offset) w)||_2^2 + alpha * ||w||_2^2
"""
if sample_weight_sqrt is None:
sample_weight_sqrt = np.ones(X.shape[0], dtype=X.dtype)
if sparse.issparse(X) and fit_intercept:
X_offset_scale = X_offset / X_scale
X1 = _get_rescaled_operator(X, X_offset_scale, sample_weight_sqrt)
else:
# No need to touch anything
X1 = X
n_samples, n_features = X.shape
coefs = np.empty((y.shape[1], n_features), dtype=X.dtype)
n_iter = np.empty(y.shape[1], dtype=np.int32)
# According to the lsqr documentation, alpha = damp^2.
sqrt_alpha = np.sqrt(alpha)
for i in range(y.shape[1]):
y_column = y[:, i]
info = sp_linalg.lsqr(
X1, y_column, damp=sqrt_alpha[i], atol=tol, btol=tol, iter_lim=max_iter
)
coefs[i] = info[0]
n_iter[i] = info[2]
return coefs, n_iter
def _solve_cholesky(X, y, alpha):
# w = inv(X^t X + alpha*Id) * X.T y
n_features = X.shape[1]
n_targets = y.shape[1]
A = safe_sparse_dot(X.T, X, dense_output=True)
Xy = safe_sparse_dot(X.T, y, dense_output=True)
one_alpha = np.array_equal(alpha, len(alpha) * [alpha[0]])
if one_alpha:
A.flat[:: n_features + 1] += alpha[0]
return linalg.solve(A, Xy, assume_a="pos", overwrite_a=True).T
else:
coefs = np.empty([n_targets, n_features], dtype=X.dtype)
for coef, target, current_alpha in zip(coefs, Xy.T, alpha):
A.flat[:: n_features + 1] += current_alpha
coef[:] = linalg.solve(A, target, assume_a="pos", overwrite_a=False).ravel()
A.flat[:: n_features + 1] -= current_alpha
return coefs
def _solve_cholesky_kernel(K, y, alpha, sample_weight=None, copy=False):
# dual_coef = inv(X X^t + alpha*Id) y
n_samples = K.shape[0]
n_targets = y.shape[1]
if copy:
K = K.copy()
alpha = np.atleast_1d(alpha)
one_alpha = (alpha == alpha[0]).all()
has_sw = isinstance(sample_weight, np.ndarray) or sample_weight not in [1.0, None]
if has_sw:
# Unlike other solvers, we need to support sample_weight directly
# because K might be a pre-computed kernel.
sw = np.sqrt(np.atleast_1d(sample_weight))
y = y * sw[:, np.newaxis]
K *= np.outer(sw, sw)
if one_alpha:
# Only one penalty, we can solve multi-target problems in one time.
K.flat[:: n_samples + 1] += alpha[0]
try:
# Note: we must use overwrite_a=False in order to be able to
# use the fall-back solution below in case a LinAlgError
# is raised
dual_coef = linalg.solve(K, y, assume_a="pos", overwrite_a=False)
except np.linalg.LinAlgError:
warnings.warn(
"Singular matrix in solving dual problem. Using "
"least-squares solution instead."
)
dual_coef = linalg.lstsq(K, y)[0]
# K is expensive to compute and store in memory so change it back in
# case it was user-given.
K.flat[:: n_samples + 1] -= alpha[0]
if has_sw:
dual_coef *= sw[:, np.newaxis]
return dual_coef
else:
# One penalty per target. We need to solve each target separately.
dual_coefs = np.empty([n_targets, n_samples], K.dtype)
for dual_coef, target, current_alpha in zip(dual_coefs, y.T, alpha):
K.flat[:: n_samples + 1] += current_alpha
dual_coef[:] = linalg.solve(
K, target, assume_a="pos", overwrite_a=False
).ravel()
K.flat[:: n_samples + 1] -= current_alpha
if has_sw:
dual_coefs *= sw[np.newaxis, :]
return dual_coefs.T
def _solve_svd(X, y, alpha):
U, s, Vt = linalg.svd(X, full_matrices=False)
idx = s > 1e-15 # same default value as scipy.linalg.pinv
s_nnz = s[idx][:, np.newaxis]
UTy = np.dot(U.T, y)
d = np.zeros((s.size, alpha.size), dtype=X.dtype)
d[idx] = s_nnz / (s_nnz**2 + alpha)
d_UT_y = d * UTy
return np.dot(Vt.T, d_UT_y).T
def _solve_lbfgs(
X,
y,
alpha,
positive=True,
max_iter=None,
tol=1e-4,
X_offset=None,
X_scale=None,
sample_weight_sqrt=None,
):
"""Solve ridge regression with LBFGS.
The main purpose is fitting with forcing coefficients to be positive.
For unconstrained ridge regression, there are faster dedicated solver methods.
Note that with positive bounds on the coefficients, LBFGS seems faster
than scipy.optimize.lsq_linear.
"""
n_samples, n_features = X.shape
options = {}
if max_iter is not None:
options["maxiter"] = max_iter
config = {
"method": "L-BFGS-B",
"tol": tol,
"jac": True,
"options": options,
}
if positive:
config["bounds"] = [(0, np.inf)] * n_features
if X_offset is not None and X_scale is not None:
X_offset_scale = X_offset / X_scale
else:
X_offset_scale = None
if sample_weight_sqrt is None:
sample_weight_sqrt = np.ones(X.shape[0], dtype=X.dtype)
coefs = np.empty((y.shape[1], n_features), dtype=X.dtype)
for i in range(y.shape[1]):
x0 = np.zeros((n_features,))
y_column = y[:, i]
def func(w):
residual = X.dot(w) - y_column
if X_offset_scale is not None:
residual -= sample_weight_sqrt * w.dot(X_offset_scale)
f = 0.5 * residual.dot(residual) + 0.5 * alpha[i] * w.dot(w)
grad = X.T @ residual + alpha[i] * w
if X_offset_scale is not None:
grad -= X_offset_scale * residual.dot(sample_weight_sqrt)
return f, grad
result = optimize.minimize(func, x0, **config)
if not result["success"]:
warnings.warn(
"The lbfgs solver did not converge. Try increasing max_iter "
f"or tol. Currently: max_iter={max_iter} and tol={tol}",
ConvergenceWarning,
)
coefs[i] = result["x"]
return coefs
def _get_valid_accept_sparse(is_X_sparse, solver):
if is_X_sparse and solver in ["auto", "sag", "saga"]:
return "csr"
else:
return ["csr", "csc", "coo"]
def ridge_regression(
X,
y,
alpha,
*,
sample_weight=None,
solver="auto",
max_iter=None,
tol=1e-4,
verbose=0,
positive=False,
random_state=None,
return_n_iter=False,
return_intercept=False,
check_input=True,
):
"""Solve the ridge equation by the method of normal equations.
Read more in the :ref:`User Guide <ridge_regression>`.
Parameters
----------
X : {ndarray, sparse matrix, LinearOperator} of shape \
(n_samples, n_features)
Training data.
y : ndarray of shape (n_samples,) or (n_samples, n_targets)
Target values.
alpha : float or array-like of shape (n_targets,)
Constant that multiplies the L2 term, controlling regularization
strength. `alpha` must be a non-negative float i.e. in `[0, inf)`.
When `alpha = 0`, the objective is equivalent to ordinary least
squares, solved by the :class:`LinearRegression` object. For numerical
reasons, using `alpha = 0` with the `Ridge` object is not advised.
Instead, you should use the :class:`LinearRegression` object.
If an array is passed, penalties are assumed to be specific to the
targets. Hence they must correspond in number.
sample_weight : float or array-like of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight. If sample_weight is not None and
solver='auto', the solver will be set to 'cholesky'.
.. versionadded:: 0.17
solver : {'auto', 'svd', 'cholesky', 'lsqr', 'sparse_cg', \
'sag', 'saga', 'lbfgs'}, default='auto'
Solver to use in the computational routines:
- 'auto' chooses the solver automatically based on the type of data.
- 'svd' uses a Singular Value Decomposition of X to compute the Ridge
coefficients. It is the most stable solver, in particular more stable
for singular matrices than 'cholesky' at the cost of being slower.
- 'cholesky' uses the standard scipy.linalg.solve function to
obtain a closed-form solution via a Cholesky decomposition of
dot(X.T, X)
- 'sparse_cg' uses the conjugate gradient solver as found in
scipy.sparse.linalg.cg. As an iterative algorithm, this solver is
more appropriate than 'cholesky' for large-scale data
(possibility to set `tol` and `max_iter`).
- 'lsqr' uses the dedicated regularized least-squares routine
scipy.sparse.linalg.lsqr. It is the fastest and uses an iterative
procedure.
- 'sag' uses a Stochastic Average Gradient descent, and 'saga' uses
its improved, unbiased version named SAGA. Both methods also use an
iterative procedure, and are often faster than other solvers when
both n_samples and n_features are large. Note that 'sag' and
'saga' fast convergence is only guaranteed on features with
approximately the same scale. You can preprocess the data with a
scaler from sklearn.preprocessing.
- 'lbfgs' uses L-BFGS-B algorithm implemented in
`scipy.optimize.minimize`. It can be used only when `positive`
is True.
All solvers except 'svd' support both dense and sparse data. However, only
'lsqr', 'sag', 'sparse_cg', and 'lbfgs' support sparse input when
`fit_intercept` is True.
.. versionadded:: 0.17
Stochastic Average Gradient descent solver.
.. versionadded:: 0.19
SAGA solver.
max_iter : int, default=None
Maximum number of iterations for conjugate gradient solver.
For the 'sparse_cg' and 'lsqr' solvers, the default value is determined
by scipy.sparse.linalg. For 'sag' and saga solver, the default value is
1000. For 'lbfgs' solver, the default value is 15000.
tol : float, default=1e-4
Precision of the solution. Note that `tol` has no effect for solvers 'svd' and
'cholesky'.
.. versionchanged:: 1.2
Default value changed from 1e-3 to 1e-4 for consistency with other linear
models.
verbose : int, default=0
Verbosity level. Setting verbose > 0 will display additional
information depending on the solver used.
positive : bool, default=False
When set to ``True``, forces the coefficients to be positive.
Only 'lbfgs' solver is supported in this case.
random_state : int, RandomState instance, default=None
Used when ``solver`` == 'sag' or 'saga' to shuffle the data.
See :term:`Glossary <random_state>` for details.
return_n_iter : bool, default=False
If True, the method also returns `n_iter`, the actual number of
iteration performed by the solver.
.. versionadded:: 0.17
return_intercept : bool, default=False
If True and if X is sparse, the method also returns the intercept,
and the solver is automatically changed to 'sag'. This is only a
temporary fix for fitting the intercept with sparse data. For dense
data, use sklearn.linear_model._preprocess_data before your regression.
.. versionadded:: 0.17
check_input : bool, default=True
If False, the input arrays X and y will not be checked.
.. versionadded:: 0.21
Returns
-------
coef : ndarray of shape (n_features,) or (n_targets, n_features)
Weight vector(s).
n_iter : int, optional
The actual number of iteration performed by the solver.
Only returned if `return_n_iter` is True.
intercept : float or ndarray of shape (n_targets,)
The intercept of the model. Only returned if `return_intercept`
is True and if X is a scipy sparse array.
Notes
-----
This function won't compute the intercept.
Regularization improves the conditioning of the problem and
reduces the variance of the estimates. Larger values specify stronger
regularization. Alpha corresponds to ``1 / (2C)`` in other linear
models such as :class:`~sklearn.linear_model.LogisticRegression` or
:class:`~sklearn.svm.LinearSVC`. If an array is passed, penalties are
assumed to be specific to the targets. Hence they must correspond in
number.
"""
return _ridge_regression(
X,
y,
alpha,
sample_weight=sample_weight,
solver=solver,
max_iter=max_iter,
tol=tol,
verbose=verbose,
positive=positive,
random_state=random_state,
return_n_iter=return_n_iter,
return_intercept=return_intercept,
X_scale=None,
X_offset=None,
check_input=check_input,
)
def _ridge_regression(
X,
y,
alpha,
sample_weight=None,
solver="auto",
max_iter=None,
tol=1e-4,
verbose=0,
positive=False,
random_state=None,
return_n_iter=False,
return_intercept=False,
X_scale=None,
X_offset=None,
check_input=True,
fit_intercept=False,
):
has_sw = sample_weight is not None
if solver == "auto":
if positive:
solver = "lbfgs"
elif return_intercept:
# sag supports fitting intercept directly
solver = "sag"
elif not sparse.issparse(X):
solver = "cholesky"
else:
solver = "sparse_cg"
if solver not in ("sparse_cg", "cholesky", "svd", "lsqr", "sag", "saga", "lbfgs"):
raise ValueError(
"Known solvers are 'sparse_cg', 'cholesky', 'svd'"
" 'lsqr', 'sag', 'saga' or 'lbfgs'. Got %s." % solver
)
if positive and solver != "lbfgs":
raise ValueError(
"When positive=True, only 'lbfgs' solver can be used. "
f"Please change solver {solver} to 'lbfgs' "
"or set positive=False."
)
if solver == "lbfgs" and not positive:
raise ValueError(
"'lbfgs' solver can be used only when positive=True. "
"Please use another solver."
)
if return_intercept and solver != "sag":
raise ValueError(
"In Ridge, only 'sag' solver can directly fit the "
"intercept. Please change solver to 'sag' or set "
"return_intercept=False."
)
if check_input:
_dtype = [np.float64, np.float32]
_accept_sparse = _get_valid_accept_sparse(sparse.issparse(X), solver)
X = check_array(X, accept_sparse=_accept_sparse, dtype=_dtype, order="C")
y = check_array(y, dtype=X.dtype, ensure_2d=False, order=None)
check_consistent_length(X, y)
n_samples, n_features = X.shape
if y.ndim > 2:
raise ValueError("Target y has the wrong shape %s" % str(y.shape))
ravel = False
if y.ndim == 1:
y = y.reshape(-1, 1)
ravel = True
n_samples_, n_targets = y.shape
if n_samples != n_samples_:
raise ValueError(
"Number of samples in X and y does not correspond: %d != %d"
% (n_samples, n_samples_)
)
if has_sw:
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
if solver not in ["sag", "saga"]:
# SAG supports sample_weight directly. For other solvers,
# we implement sample_weight via a simple rescaling.
X, y, sample_weight_sqrt = _rescale_data(X, y, sample_weight)
# Some callers of this method might pass alpha as single
# element array which already has been validated.
if alpha is not None and not isinstance(alpha, np.ndarray):
alpha = check_scalar(
alpha,
"alpha",
target_type=numbers.Real,
min_val=0.0,
include_boundaries="left",
)
# There should be either 1 or n_targets penalties
alpha = np.asarray(alpha, dtype=X.dtype).ravel()
if alpha.size not in [1, n_targets]:
raise ValueError(
"Number of targets and number of penalties do not correspond: %d != %d"
% (alpha.size, n_targets)
)
if alpha.size == 1 and n_targets > 1:
alpha = np.repeat(alpha, n_targets)
n_iter = None
if solver == "sparse_cg":
coef = _solve_sparse_cg(
X,
y,
alpha,
max_iter=max_iter,
tol=tol,
verbose=verbose,
X_offset=X_offset,
X_scale=X_scale,
sample_weight_sqrt=sample_weight_sqrt if has_sw else None,
)
elif solver == "lsqr":
coef, n_iter = _solve_lsqr(
X,
y,
alpha=alpha,
fit_intercept=fit_intercept,
max_iter=max_iter,
tol=tol,
X_offset=X_offset,
X_scale=X_scale,
sample_weight_sqrt=sample_weight_sqrt if has_sw else None,
)
elif solver == "cholesky":
if n_features > n_samples:
K = safe_sparse_dot(X, X.T, dense_output=True)
try:
dual_coef = _solve_cholesky_kernel(K, y, alpha)
coef = safe_sparse_dot(X.T, dual_coef, dense_output=True).T
except linalg.LinAlgError:
# use SVD solver if matrix is singular
solver = "svd"
else:
try:
coef = _solve_cholesky(X, y, alpha)
except linalg.LinAlgError:
# use SVD solver if matrix is singular
solver = "svd"
elif solver in ["sag", "saga"]:
# precompute max_squared_sum for all targets
max_squared_sum = row_norms(X, squared=True).max()
coef = np.empty((y.shape[1], n_features), dtype=X.dtype)
n_iter = np.empty(y.shape[1], dtype=np.int32)
intercept = np.zeros((y.shape[1],), dtype=X.dtype)
for i, (alpha_i, target) in enumerate(zip(alpha, y.T)):
init = {
"coef": np.zeros((n_features + int(return_intercept), 1), dtype=X.dtype)
}
coef_, n_iter_, _ = sag_solver(
X,
target.ravel(),
sample_weight,
"squared",
alpha_i,
0,
max_iter,
tol,
verbose,
random_state,
False,
max_squared_sum,
init,
is_saga=solver == "saga",
)
if return_intercept:
coef[i] = coef_[:-1]
intercept[i] = coef_[-1]
else:
coef[i] = coef_
n_iter[i] = n_iter_
if intercept.shape[0] == 1:
intercept = intercept[0]
coef = np.asarray(coef)
elif solver == "lbfgs":
coef = _solve_lbfgs(
X,
y,
alpha,
positive=positive,
tol=tol,
max_iter=max_iter,
X_offset=X_offset,
X_scale=X_scale,
sample_weight_sqrt=sample_weight_sqrt if has_sw else None,
)
if solver == "svd":
if sparse.issparse(X):
raise TypeError("SVD solver does not support sparse inputs currently")
coef = _solve_svd(X, y, alpha)
if ravel:
# When y was passed as a 1d-array, we flatten the coefficients.
coef = coef.ravel()
if return_n_iter and return_intercept:
return coef, n_iter, intercept
elif return_intercept:
return coef, intercept
elif return_n_iter:
return coef, n_iter
else:
return coef
class _BaseRidge(LinearModel, metaclass=ABCMeta):
_parameter_constraints: dict = {
"alpha": [Interval(Real, 0, None, closed="left"), np.ndarray],
"fit_intercept": ["boolean"],
"copy_X": ["boolean"],
"max_iter": [Interval(Integral, 1, None, closed="left"), None],
"tol": [Interval(Real, 0, None, closed="left")],
"solver": [
StrOptions(
{"auto", "svd", "cholesky", "lsqr", "sparse_cg", "sag", "saga", "lbfgs"}
)
],
"positive": ["boolean"],
"random_state": ["random_state"],
}
@abstractmethod
def __init__(
self,
alpha=1.0,
*,
fit_intercept=True,
copy_X=True,
max_iter=None,
tol=1e-4,
solver="auto",
positive=False,
random_state=None,
):
self.alpha = alpha
self.fit_intercept = fit_intercept
self.copy_X = copy_X
self.max_iter = max_iter
self.tol = tol
self.solver = solver
self.positive = positive
self.random_state = random_state
def fit(self, X, y, sample_weight=None):
if self.solver == "lbfgs" and not self.positive:
raise ValueError(
"'lbfgs' solver can be used only when positive=True. "
"Please use another solver."
)
if self.positive:
if self.solver not in ["auto", "lbfgs"]:
raise ValueError(
f"solver='{self.solver}' does not support positive fitting. Please"
" set the solver to 'auto' or 'lbfgs', or set `positive=False`"
)
else:
solver = self.solver
elif sparse.issparse(X) and self.fit_intercept:
if self.solver not in ["auto", "lbfgs", "lsqr", "sag", "sparse_cg"]:
raise ValueError(
"solver='{}' does not support fitting the intercept "
"on sparse data. Please set the solver to 'auto' or "
"'lsqr', 'sparse_cg', 'sag', 'lbfgs' "
"or set `fit_intercept=False`".format(self.solver)
)
if self.solver in ["lsqr", "lbfgs"]:
solver = self.solver
elif self.solver == "sag" and self.max_iter is None and self.tol > 1e-4:
warnings.warn(
'"sag" solver requires many iterations to fit '
"an intercept with sparse inputs. Either set the "
'solver to "auto" or "sparse_cg", or set a low '
'"tol" and a high "max_iter" (especially if inputs are '
"not standardized)."
)
solver = "sag"
else:
solver = "sparse_cg"
else:
solver = self.solver
if sample_weight is not None:
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
# when X is sparse we only remove offset from y
X, y, X_offset, y_offset, X_scale = _preprocess_data(
X,
y,
self.fit_intercept,
copy=self.copy_X,
sample_weight=sample_weight,
)
if solver == "sag" and sparse.issparse(X) and self.fit_intercept:
self.coef_, self.n_iter_, self.intercept_ = _ridge_regression(
X,
y,
alpha=self.alpha,
sample_weight=sample_weight,
max_iter=self.max_iter,
tol=self.tol,
solver="sag",
positive=self.positive,
random_state=self.random_state,
return_n_iter=True,
return_intercept=True,
check_input=False,
)
# add the offset which was subtracted by _preprocess_data
self.intercept_ += y_offset
else:
if sparse.issparse(X) and self.fit_intercept:
# required to fit intercept with sparse_cg and lbfgs solver
params = {"X_offset": X_offset, "X_scale": X_scale}
else:
# for dense matrices or when intercept is set to 0
params = {}
self.coef_, self.n_iter_ = _ridge_regression(
X,
y,
alpha=self.alpha,
sample_weight=sample_weight,
max_iter=self.max_iter,
tol=self.tol,
solver=solver,
positive=self.positive,
random_state=self.random_state,
return_n_iter=True,
return_intercept=False,
check_input=False,
fit_intercept=self.fit_intercept,
**params,
)
self._set_intercept(X_offset, y_offset, X_scale)
return self
class Ridge(MultiOutputMixin, RegressorMixin, _BaseRidge):
"""Linear least squares with l2 regularization.
Minimizes the objective function::
||y - Xw||^2_2 + alpha * ||w||^2_2
This model solves a regression model where the loss function is
the linear least squares function and regularization is given by
the l2-norm. Also known as Ridge Regression or Tikhonov regularization.
This estimator has built-in support for multi-variate regression
(i.e., when y is a 2d-array of shape (n_samples, n_targets)).
Read more in the :ref:`User Guide <ridge_regression>`.
Parameters
----------
alpha : {float, ndarray of shape (n_targets,)}, default=1.0
Constant that multiplies the L2 term, controlling regularization
strength. `alpha` must be a non-negative float i.e. in `[0, inf)`.
When `alpha = 0`, the objective is equivalent to ordinary least
squares, solved by the :class:`LinearRegression` object. For numerical
reasons, using `alpha = 0` with the `Ridge` object is not advised.
Instead, you should use the :class:`LinearRegression` object.
If an array is passed, penalties are assumed to be specific to the
targets. Hence they must correspond in number.
fit_intercept : bool, default=True
Whether to fit the intercept for this model. If set
to false, no intercept will be used in calculations
(i.e. ``X`` and ``y`` are expected to be centered).
copy_X : bool, default=True
If True, X will be copied; else, it may be overwritten.
max_iter : int, default=None
Maximum number of iterations for conjugate gradient solver.
For 'sparse_cg' and 'lsqr' solvers, the default value is determined
by scipy.sparse.linalg. For 'sag' solver, the default value is 1000.
For 'lbfgs' solver, the default value is 15000.
tol : float, default=1e-4
Precision of the solution. Note that `tol` has no effect for solvers 'svd' and
'cholesky'.
.. versionchanged:: 1.2
Default value changed from 1e-3 to 1e-4 for consistency with other linear
models.
solver : {'auto', 'svd', 'cholesky', 'lsqr', 'sparse_cg', \
'sag', 'saga', 'lbfgs'}, default='auto'
Solver to use in the computational routines:
- 'auto' chooses the solver automatically based on the type of data.
- 'svd' uses a Singular Value Decomposition of X to compute the Ridge
coefficients. It is the most stable solver, in particular more stable
for singular matrices than 'cholesky' at the cost of being slower.
- 'cholesky' uses the standard scipy.linalg.solve function to
obtain a closed-form solution.
- 'sparse_cg' uses the conjugate gradient solver as found in
scipy.sparse.linalg.cg. As an iterative algorithm, this solver is
more appropriate than 'cholesky' for large-scale data
(possibility to set `tol` and `max_iter`).
- 'lsqr' uses the dedicated regularized least-squares routine
scipy.sparse.linalg.lsqr. It is the fastest and uses an iterative
procedure.
- 'sag' uses a Stochastic Average Gradient descent, and 'saga' uses
its improved, unbiased version named SAGA. Both methods also use an
iterative procedure, and are often faster than other solvers when
both n_samples and n_features are large. Note that 'sag' and
'saga' fast convergence is only guaranteed on features with
approximately the same scale. You can preprocess the data with a
scaler from sklearn.preprocessing.
- 'lbfgs' uses L-BFGS-B algorithm implemented in
`scipy.optimize.minimize`. It can be used only when `positive`
is True.
All solvers except 'svd' support both dense and sparse data. However, only
'lsqr', 'sag', 'sparse_cg', and 'lbfgs' support sparse input when
`fit_intercept` is True.
.. versionadded:: 0.17
Stochastic Average Gradient descent solver.
.. versionadded:: 0.19
SAGA solver.
positive : bool, default=False
When set to ``True``, forces the coefficients to be positive.
Only 'lbfgs' solver is supported in this case.
random_state : int, RandomState instance, default=None
Used when ``solver`` == 'sag' or 'saga' to shuffle the data.
See :term:`Glossary <random_state>` for details.
.. versionadded:: 0.17
`random_state` to support Stochastic Average Gradient.
Attributes
----------
coef_ : ndarray of shape (n_features,) or (n_targets, n_features)
Weight vector(s).
intercept_ : float or ndarray of shape (n_targets,)
Independent term in decision function. Set to 0.0 if
``fit_intercept = False``.
n_iter_ : None or ndarray of shape (n_targets,)
Actual number of iterations for each target. Available only for
sag and lsqr solvers. Other solvers will return None.
.. versionadded:: 0.17
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
RidgeClassifier : Ridge classifier.
RidgeCV : Ridge regression with built-in cross validation.
:class:`~sklearn.kernel_ridge.KernelRidge` : Kernel ridge regression
combines ridge regression with the kernel trick.
Notes
-----
Regularization improves the conditioning of the problem and
reduces the variance of the estimates. Larger values specify stronger
regularization. Alpha corresponds to ``1 / (2C)`` in other linear
models such as :class:`~sklearn.linear_model.LogisticRegression` or
:class:`~sklearn.svm.LinearSVC`.
Examples
--------
>>> from sklearn.linear_model import Ridge
>>> import numpy as np
>>> n_samples, n_features = 10, 5
>>> rng = np.random.RandomState(0)
>>> y = rng.randn(n_samples)
>>> X = rng.randn(n_samples, n_features)
>>> clf = Ridge(alpha=1.0)
>>> clf.fit(X, y)
Ridge()
"""
def __init__(
self,
alpha=1.0,
*,
fit_intercept=True,
copy_X=True,
max_iter=None,
tol=1e-4,
solver="auto",
positive=False,
random_state=None,
):
super().__init__(
alpha=alpha,
fit_intercept=fit_intercept,
copy_X=copy_X,
max_iter=max_iter,
tol=tol,
solver=solver,
positive=positive,
random_state=random_state,
)
def fit(self, X, y, sample_weight=None):
"""Fit Ridge regression model.
Parameters
----------
X : {ndarray, sparse matrix} of shape (n_samples, n_features)
Training data.
y : ndarray of shape (n_samples,) or (n_samples, n_targets)
Target values.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
Returns
-------
self : object
Fitted estimator.
"""
self._validate_params()
_accept_sparse = _get_valid_accept_sparse(sparse.issparse(X), self.solver)
X, y = self._validate_data(
X,
y,
accept_sparse=_accept_sparse,
dtype=[np.float64, np.float32],
multi_output=True,
y_numeric=True,
)
return super().fit(X, y, sample_weight=sample_weight)
class _RidgeClassifierMixin(LinearClassifierMixin):
def _prepare_data(self, X, y, sample_weight, solver):
"""Validate `X` and `y` and binarize `y`.
Parameters
----------
X : {ndarray, sparse matrix} of shape (n_samples, n_features)
Training data.
y : ndarray of shape (n_samples,)
Target values.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
solver : str
The solver used in `Ridge` to know which sparse format to support.
Returns
-------
X : {ndarray, sparse matrix} of shape (n_samples, n_features)
Validated training data.
y : ndarray of shape (n_samples,)
Validated target values.
sample_weight : ndarray of shape (n_samples,)
Validated sample weights.
Y : ndarray of shape (n_samples, n_classes)
The binarized version of `y`.
"""
accept_sparse = _get_valid_accept_sparse(sparse.issparse(X), solver)
X, y = self._validate_data(
X,
y,
accept_sparse=accept_sparse,
multi_output=True,
y_numeric=False,
)
self._label_binarizer = LabelBinarizer(pos_label=1, neg_label=-1)
Y = self._label_binarizer.fit_transform(y)
if not self._label_binarizer.y_type_.startswith("multilabel"):
y = column_or_1d(y, warn=True)
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
if self.class_weight:
sample_weight = sample_weight * compute_sample_weight(self.class_weight, y)
return X, y, sample_weight, Y
def predict(self, X):
"""Predict class labels for samples in `X`.
Parameters
----------
X : {array-like, spare matrix} of shape (n_samples, n_features)
The data matrix for which we want to predict the targets.
Returns
-------
y_pred : ndarray of shape (n_samples,) or (n_samples, n_outputs)
Vector or matrix containing the predictions. In binary and
multiclass problems, this is a vector containing `n_samples`. In
a multilabel problem, it returns a matrix of shape
`(n_samples, n_outputs)`.
"""
check_is_fitted(self, attributes=["_label_binarizer"])
if self._label_binarizer.y_type_.startswith("multilabel"):
# Threshold such that the negative label is -1 and positive label
# is 1 to use the inverse transform of the label binarizer fitted
# during fit.
scores = 2 * (self.decision_function(X) > 0) - 1
return self._label_binarizer.inverse_transform(scores)
return super().predict(X)
@property
def classes_(self):
"""Classes labels."""
return self._label_binarizer.classes_
def _more_tags(self):
return {"multilabel": True}
class RidgeClassifier(_RidgeClassifierMixin, _BaseRidge):
"""Classifier using Ridge regression.
This classifier first converts the target values into ``{-1, 1}`` and
then treats the problem as a regression task (multi-output regression in
the multiclass case).
Read more in the :ref:`User Guide <ridge_regression>`.
Parameters
----------
alpha : float, default=1.0
Regularization strength; must be a positive float. Regularization
improves the conditioning of the problem and reduces the variance of
the estimates. Larger values specify stronger regularization.
Alpha corresponds to ``1 / (2C)`` in other linear models such as
:class:`~sklearn.linear_model.LogisticRegression` or
:class:`~sklearn.svm.LinearSVC`.
fit_intercept : bool, default=True
Whether to calculate the intercept for this model. If set to false, no
intercept will be used in calculations (e.g. data is expected to be
already centered).
copy_X : bool, default=True
If True, X will be copied; else, it may be overwritten.
max_iter : int, default=None
Maximum number of iterations for conjugate gradient solver.
The default value is determined by scipy.sparse.linalg.
tol : float, default=1e-4
Precision of the solution. Note that `tol` has no effect for solvers 'svd' and
'cholesky'.
.. versionchanged:: 1.2
Default value changed from 1e-3 to 1e-4 for consistency with other linear
models.
class_weight : dict or 'balanced', default=None
Weights associated with classes in the form ``{class_label: weight}``.
If not given, all classes are supposed to have weight one.
The "balanced" mode uses the values of y to automatically adjust
weights inversely proportional to class frequencies in the input data
as ``n_samples / (n_classes * np.bincount(y))``.
solver : {'auto', 'svd', 'cholesky', 'lsqr', 'sparse_cg', \
'sag', 'saga', 'lbfgs'}, default='auto'
Solver to use in the computational routines:
- 'auto' chooses the solver automatically based on the type of data.
- 'svd' uses a Singular Value Decomposition of X to compute the Ridge
coefficients. It is the most stable solver, in particular more stable
for singular matrices than 'cholesky' at the cost of being slower.
- 'cholesky' uses the standard scipy.linalg.solve function to
obtain a closed-form solution.
- 'sparse_cg' uses the conjugate gradient solver as found in
scipy.sparse.linalg.cg. As an iterative algorithm, this solver is
more appropriate than 'cholesky' for large-scale data
(possibility to set `tol` and `max_iter`).
- 'lsqr' uses the dedicated regularized least-squares routine
scipy.sparse.linalg.lsqr. It is the fastest and uses an iterative
procedure.
- 'sag' uses a Stochastic Average Gradient descent, and 'saga' uses
its unbiased and more flexible version named SAGA. Both methods
use an iterative procedure, and are often faster than other solvers
when both n_samples and n_features are large. Note that 'sag' and
'saga' fast convergence is only guaranteed on features with
approximately the same scale. You can preprocess the data with a
scaler from sklearn.preprocessing.
.. versionadded:: 0.17
Stochastic Average Gradient descent solver.
.. versionadded:: 0.19
SAGA solver.
- 'lbfgs' uses L-BFGS-B algorithm implemented in
`scipy.optimize.minimize`. It can be used only when `positive`
is True.
positive : bool, default=False
When set to ``True``, forces the coefficients to be positive.
Only 'lbfgs' solver is supported in this case.
random_state : int, RandomState instance, default=None
Used when ``solver`` == 'sag' or 'saga' to shuffle the data.
See :term:`Glossary <random_state>` for details.
Attributes
----------
coef_ : ndarray of shape (1, n_features) or (n_classes, n_features)
Coefficient of the features in the decision function.
``coef_`` is of shape (1, n_features) when the given problem is binary.
intercept_ : float or ndarray of shape (n_targets,)
Independent term in decision function. Set to 0.0 if
``fit_intercept = False``.
n_iter_ : None or ndarray of shape (n_targets,)
Actual number of iterations for each target. Available only for
sag and lsqr solvers. Other solvers will return None.
classes_ : ndarray of shape (n_classes,)
The classes labels.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
Ridge : Ridge regression.
RidgeClassifierCV : Ridge classifier with built-in cross validation.
Notes
-----
For multi-class classification, n_class classifiers are trained in
a one-versus-all approach. Concretely, this is implemented by taking
advantage of the multi-variate response support in Ridge.
Examples
--------
>>> from sklearn.datasets import load_breast_cancer
>>> from sklearn.linear_model import RidgeClassifier
>>> X, y = load_breast_cancer(return_X_y=True)
>>> clf = RidgeClassifier().fit(X, y)
>>> clf.score(X, y)
0.9595...
"""
_parameter_constraints: dict = {
**_BaseRidge._parameter_constraints,
"class_weight": [dict, StrOptions({"balanced"}), None],
}
def __init__(
self,
alpha=1.0,
*,
fit_intercept=True,
copy_X=True,
max_iter=None,
tol=1e-4,
class_weight=None,
solver="auto",
positive=False,
random_state=None,
):
super().__init__(
alpha=alpha,
fit_intercept=fit_intercept,
copy_X=copy_X,
max_iter=max_iter,
tol=tol,
solver=solver,
positive=positive,
random_state=random_state,
)
self.class_weight = class_weight
def fit(self, X, y, sample_weight=None):
"""Fit Ridge classifier model.
Parameters
----------
X : {ndarray, sparse matrix} of shape (n_samples, n_features)
Training data.
y : ndarray of shape (n_samples,)
Target values.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
.. versionadded:: 0.17
*sample_weight* support to RidgeClassifier.
Returns
-------
self : object
Instance of the estimator.
"""
self._validate_params()
X, y, sample_weight, Y = self._prepare_data(X, y, sample_weight, self.solver)
super().fit(X, Y, sample_weight=sample_weight)
return self
def _check_gcv_mode(X, gcv_mode):
if gcv_mode in ["eigen", "svd"]:
return gcv_mode
# if X has more rows than columns, use decomposition of X^T.X,
# otherwise X.X^T
if X.shape[0] > X.shape[1]:
return "svd"
return "eigen"
def _find_smallest_angle(query, vectors):
"""Find the column of vectors that is most aligned with the query.
Both query and the columns of vectors must have their l2 norm equal to 1.
Parameters
----------
query : ndarray of shape (n_samples,)
Normalized query vector.
vectors : ndarray of shape (n_samples, n_features)
Vectors to which we compare query, as columns. Must be normalized.
"""
abs_cosine = np.abs(query.dot(vectors))
index = np.argmax(abs_cosine)
return index
class _X_CenterStackOp(sparse.linalg.LinearOperator):
"""Behaves as centered and scaled X with an added intercept column.
This operator behaves as
np.hstack([X - sqrt_sw[:, None] * X_mean, sqrt_sw[:, None]])
"""
def __init__(self, X, X_mean, sqrt_sw):
n_samples, n_features = X.shape
super().__init__(X.dtype, (n_samples, n_features + 1))
self.X = X
self.X_mean = X_mean
self.sqrt_sw = sqrt_sw
def _matvec(self, v):
v = v.ravel()
return (
safe_sparse_dot(self.X, v[:-1], dense_output=True)
- self.sqrt_sw * self.X_mean.dot(v[:-1])
+ v[-1] * self.sqrt_sw
)
def _matmat(self, v):
return (
safe_sparse_dot(self.X, v[:-1], dense_output=True)
- self.sqrt_sw[:, None] * self.X_mean.dot(v[:-1])
+ v[-1] * self.sqrt_sw[:, None]
)
def _transpose(self):
return _XT_CenterStackOp(self.X, self.X_mean, self.sqrt_sw)
class _XT_CenterStackOp(sparse.linalg.LinearOperator):
"""Behaves as transposed centered and scaled X with an intercept column.
This operator behaves as
np.hstack([X - sqrt_sw[:, None] * X_mean, sqrt_sw[:, None]]).T
"""
def __init__(self, X, X_mean, sqrt_sw):
n_samples, n_features = X.shape
super().__init__(X.dtype, (n_features + 1, n_samples))
self.X = X
self.X_mean = X_mean
self.sqrt_sw = sqrt_sw
def _matvec(self, v):
v = v.ravel()
n_features = self.shape[0]
res = np.empty(n_features, dtype=self.X.dtype)
res[:-1] = safe_sparse_dot(self.X.T, v, dense_output=True) - (
self.X_mean * self.sqrt_sw.dot(v)
)
res[-1] = np.dot(v, self.sqrt_sw)
return res
def _matmat(self, v):
n_features = self.shape[0]
res = np.empty((n_features, v.shape[1]), dtype=self.X.dtype)
res[:-1] = safe_sparse_dot(self.X.T, v, dense_output=True) - self.X_mean[
:, None
] * self.sqrt_sw.dot(v)
res[-1] = np.dot(self.sqrt_sw, v)
return res
class _IdentityRegressor:
"""Fake regressor which will directly output the prediction."""
def decision_function(self, y_predict):
return y_predict
def predict(self, y_predict):
return y_predict
class _IdentityClassifier(LinearClassifierMixin):
"""Fake classifier which will directly output the prediction.
We inherit from LinearClassifierMixin to get the proper shape for the
output `y`.
"""
def __init__(self, classes):
self.classes_ = classes
def decision_function(self, y_predict):
return y_predict
class _RidgeGCV(LinearModel):
"""Ridge regression with built-in Leave-one-out Cross-Validation.
This class is not intended to be used directly. Use RidgeCV instead.
Notes
-----
We want to solve (K + alpha*Id)c = y,
where K = X X^T is the kernel matrix.
Let G = (K + alpha*Id).
Dual solution: c = G^-1y
Primal solution: w = X^T c
Compute eigendecomposition K = Q V Q^T.
Then G^-1 = Q (V + alpha*Id)^-1 Q^T,
where (V + alpha*Id) is diagonal.
It is thus inexpensive to inverse for many alphas.
Let loov be the vector of prediction values for each example
when the model was fitted with all examples but this example.
loov = (KG^-1Y - diag(KG^-1)Y) / diag(I-KG^-1)
Let looe be the vector of prediction errors for each example
when the model was fitted with all examples but this example.
looe = y - loov = c / diag(G^-1)
The best score (negative mean squared error or user-provided scoring) is
stored in the `best_score_` attribute, and the selected hyperparameter in
`alpha_`.
References
----------
http://cbcl.mit.edu/publications/ps/MIT-CSAIL-TR-2007-025.pdf
https://www.mit.edu/~9.520/spring07/Classes/rlsslides.pdf
"""
def __init__(
self,
alphas=(0.1, 1.0, 10.0),
*,
fit_intercept=True,
scoring=None,
copy_X=True,
gcv_mode=None,
store_cv_values=False,
is_clf=False,
alpha_per_target=False,
):
self.alphas = alphas
self.fit_intercept = fit_intercept
self.scoring = scoring
self.copy_X = copy_X
self.gcv_mode = gcv_mode
self.store_cv_values = store_cv_values
self.is_clf = is_clf
self.alpha_per_target = alpha_per_target
@staticmethod
def _decomp_diag(v_prime, Q):
# compute diagonal of the matrix: dot(Q, dot(diag(v_prime), Q^T))
return (v_prime * Q**2).sum(axis=-1)
@staticmethod
def _diag_dot(D, B):
# compute dot(diag(D), B)
if len(B.shape) > 1:
# handle case where B is > 1-d
D = D[(slice(None),) + (np.newaxis,) * (len(B.shape) - 1)]
return D * B
def _compute_gram(self, X, sqrt_sw):
"""Computes the Gram matrix XX^T with possible centering.
Parameters
----------
X : {ndarray, sparse matrix} of shape (n_samples, n_features)
The preprocessed design matrix.
sqrt_sw : ndarray of shape (n_samples,)
square roots of sample weights
Returns
-------
gram : ndarray of shape (n_samples, n_samples)
The Gram matrix.
X_mean : ndarray of shape (n_feature,)
The weighted mean of ``X`` for each feature.
Notes
-----
When X is dense the centering has been done in preprocessing
so the mean is 0 and we just compute XX^T.
When X is sparse it has not been centered in preprocessing, but it has
been scaled by sqrt(sample weights).
When self.fit_intercept is False no centering is done.
The centered X is never actually computed because centering would break
the sparsity of X.
"""
center = self.fit_intercept and sparse.issparse(X)
if not center:
# in this case centering has been done in preprocessing
# or we are not fitting an intercept.
X_mean = np.zeros(X.shape[1], dtype=X.dtype)
return safe_sparse_dot(X, X.T, dense_output=True), X_mean
# X is sparse
n_samples = X.shape[0]
sample_weight_matrix = sparse.dia_matrix(
(sqrt_sw, 0), shape=(n_samples, n_samples)
)
X_weighted = sample_weight_matrix.dot(X)
X_mean, _ = mean_variance_axis(X_weighted, axis=0)
X_mean *= n_samples / sqrt_sw.dot(sqrt_sw)
X_mX = sqrt_sw[:, None] * safe_sparse_dot(X_mean, X.T, dense_output=True)
X_mX_m = np.outer(sqrt_sw, sqrt_sw) * np.dot(X_mean, X_mean)
return (
safe_sparse_dot(X, X.T, dense_output=True) + X_mX_m - X_mX - X_mX.T,
X_mean,
)
def _compute_covariance(self, X, sqrt_sw):
"""Computes covariance matrix X^TX with possible centering.
Parameters
----------
X : sparse matrix of shape (n_samples, n_features)
The preprocessed design matrix.
sqrt_sw : ndarray of shape (n_samples,)
square roots of sample weights
Returns
-------
covariance : ndarray of shape (n_features, n_features)
The covariance matrix.
X_mean : ndarray of shape (n_feature,)
The weighted mean of ``X`` for each feature.
Notes
-----
Since X is sparse it has not been centered in preprocessing, but it has
been scaled by sqrt(sample weights).
When self.fit_intercept is False no centering is done.
The centered X is never actually computed because centering would break
the sparsity of X.
"""
if not self.fit_intercept:
# in this case centering has been done in preprocessing
# or we are not fitting an intercept.
X_mean = np.zeros(X.shape[1], dtype=X.dtype)
return safe_sparse_dot(X.T, X, dense_output=True), X_mean
# this function only gets called for sparse X
n_samples = X.shape[0]
sample_weight_matrix = sparse.dia_matrix(
(sqrt_sw, 0), shape=(n_samples, n_samples)
)
X_weighted = sample_weight_matrix.dot(X)
X_mean, _ = mean_variance_axis(X_weighted, axis=0)
X_mean = X_mean * n_samples / sqrt_sw.dot(sqrt_sw)
weight_sum = sqrt_sw.dot(sqrt_sw)
return (
safe_sparse_dot(X.T, X, dense_output=True)
- weight_sum * np.outer(X_mean, X_mean),
X_mean,
)
def _sparse_multidot_diag(self, X, A, X_mean, sqrt_sw):
"""Compute the diagonal of (X - X_mean).dot(A).dot((X - X_mean).T)
without explicitly centering X nor computing X.dot(A)
when X is sparse.
Parameters
----------
X : sparse matrix of shape (n_samples, n_features)
A : ndarray of shape (n_features, n_features)
X_mean : ndarray of shape (n_features,)
sqrt_sw : ndarray of shape (n_features,)
square roots of sample weights
Returns
-------
diag : np.ndarray, shape (n_samples,)
The computed diagonal.
"""
intercept_col = scale = sqrt_sw
batch_size = X.shape[1]
diag = np.empty(X.shape[0], dtype=X.dtype)
for start in range(0, X.shape[0], batch_size):
batch = slice(start, min(X.shape[0], start + batch_size), 1)
X_batch = np.empty(
(X[batch].shape[0], X.shape[1] + self.fit_intercept), dtype=X.dtype
)
if self.fit_intercept:
X_batch[:, :-1] = X[batch].A - X_mean * scale[batch][:, None]
X_batch[:, -1] = intercept_col[batch]
else:
X_batch = X[batch].A
diag[batch] = (X_batch.dot(A) * X_batch).sum(axis=1)
return diag
def _eigen_decompose_gram(self, X, y, sqrt_sw):
"""Eigendecomposition of X.X^T, used when n_samples <= n_features."""
# if X is dense it has already been centered in preprocessing
K, X_mean = self._compute_gram(X, sqrt_sw)
if self.fit_intercept:
# to emulate centering X with sample weights,
# ie removing the weighted average, we add a column
# containing the square roots of the sample weights.
# by centering, it is orthogonal to the other columns
K += np.outer(sqrt_sw, sqrt_sw)
eigvals, Q = linalg.eigh(K)
QT_y = np.dot(Q.T, y)
return X_mean, eigvals, Q, QT_y
def _solve_eigen_gram(self, alpha, y, sqrt_sw, X_mean, eigvals, Q, QT_y):
"""Compute dual coefficients and diagonal of G^-1.
Used when we have a decomposition of X.X^T (n_samples <= n_features).
"""
w = 1.0 / (eigvals + alpha)
if self.fit_intercept:
# the vector containing the square roots of the sample weights (1
# when no sample weights) is the eigenvector of XX^T which
# corresponds to the intercept; we cancel the regularization on
# this dimension. the corresponding eigenvalue is
# sum(sample_weight).
normalized_sw = sqrt_sw / np.linalg.norm(sqrt_sw)
intercept_dim = _find_smallest_angle(normalized_sw, Q)
w[intercept_dim] = 0 # cancel regularization for the intercept
c = np.dot(Q, self._diag_dot(w, QT_y))
G_inverse_diag = self._decomp_diag(w, Q)
# handle case where y is 2-d
if len(y.shape) != 1:
G_inverse_diag = G_inverse_diag[:, np.newaxis]
return G_inverse_diag, c
def _eigen_decompose_covariance(self, X, y, sqrt_sw):
"""Eigendecomposition of X^T.X, used when n_samples > n_features
and X is sparse.
"""
n_samples, n_features = X.shape
cov = np.empty((n_features + 1, n_features + 1), dtype=X.dtype)
cov[:-1, :-1], X_mean = self._compute_covariance(X, sqrt_sw)
if not self.fit_intercept:
cov = cov[:-1, :-1]
# to emulate centering X with sample weights,
# ie removing the weighted average, we add a column
# containing the square roots of the sample weights.
# by centering, it is orthogonal to the other columns
# when all samples have the same weight we add a column of 1
else:
cov[-1] = 0
cov[:, -1] = 0
cov[-1, -1] = sqrt_sw.dot(sqrt_sw)
nullspace_dim = max(0, n_features - n_samples)
eigvals, V = linalg.eigh(cov)
# remove eigenvalues and vectors in the null space of X^T.X
eigvals = eigvals[nullspace_dim:]
V = V[:, nullspace_dim:]
return X_mean, eigvals, V, X
def _solve_eigen_covariance_no_intercept(
self, alpha, y, sqrt_sw, X_mean, eigvals, V, X
):
"""Compute dual coefficients and diagonal of G^-1.
Used when we have a decomposition of X^T.X
(n_samples > n_features and X is sparse), and not fitting an intercept.
"""
w = 1 / (eigvals + alpha)
A = (V * w).dot(V.T)
AXy = A.dot(safe_sparse_dot(X.T, y, dense_output=True))
y_hat = safe_sparse_dot(X, AXy, dense_output=True)
hat_diag = self._sparse_multidot_diag(X, A, X_mean, sqrt_sw)
if len(y.shape) != 1:
# handle case where y is 2-d
hat_diag = hat_diag[:, np.newaxis]
return (1 - hat_diag) / alpha, (y - y_hat) / alpha
def _solve_eigen_covariance_intercept(
self, alpha, y, sqrt_sw, X_mean, eigvals, V, X
):
"""Compute dual coefficients and diagonal of G^-1.
Used when we have a decomposition of X^T.X
(n_samples > n_features and X is sparse),
and we are fitting an intercept.
"""
# the vector [0, 0, ..., 0, 1]
# is the eigenvector of X^TX which
# corresponds to the intercept; we cancel the regularization on
# this dimension. the corresponding eigenvalue is
# sum(sample_weight), e.g. n when uniform sample weights.
intercept_sv = np.zeros(V.shape[0])
intercept_sv[-1] = 1
intercept_dim = _find_smallest_angle(intercept_sv, V)
w = 1 / (eigvals + alpha)
w[intercept_dim] = 1 / eigvals[intercept_dim]
A = (V * w).dot(V.T)
# add a column to X containing the square roots of sample weights
X_op = _X_CenterStackOp(X, X_mean, sqrt_sw)
AXy = A.dot(X_op.T.dot(y))
y_hat = X_op.dot(AXy)
hat_diag = self._sparse_multidot_diag(X, A, X_mean, sqrt_sw)
# return (1 - hat_diag), (y - y_hat)
if len(y.shape) != 1:
# handle case where y is 2-d
hat_diag = hat_diag[:, np.newaxis]
return (1 - hat_diag) / alpha, (y - y_hat) / alpha
def _solve_eigen_covariance(self, alpha, y, sqrt_sw, X_mean, eigvals, V, X):
"""Compute dual coefficients and diagonal of G^-1.
Used when we have a decomposition of X^T.X
(n_samples > n_features and X is sparse).
"""
if self.fit_intercept:
return self._solve_eigen_covariance_intercept(
alpha, y, sqrt_sw, X_mean, eigvals, V, X
)
return self._solve_eigen_covariance_no_intercept(
alpha, y, sqrt_sw, X_mean, eigvals, V, X
)
def _svd_decompose_design_matrix(self, X, y, sqrt_sw):
# X already centered
X_mean = np.zeros(X.shape[1], dtype=X.dtype)
if self.fit_intercept:
# to emulate fit_intercept=True situation, add a column
# containing the square roots of the sample weights
# by centering, the other columns are orthogonal to that one
intercept_column = sqrt_sw[:, None]
X = np.hstack((X, intercept_column))
U, singvals, _ = linalg.svd(X, full_matrices=0)
singvals_sq = singvals**2
UT_y = np.dot(U.T, y)
return X_mean, singvals_sq, U, UT_y
def _solve_svd_design_matrix(self, alpha, y, sqrt_sw, X_mean, singvals_sq, U, UT_y):
"""Compute dual coefficients and diagonal of G^-1.
Used when we have an SVD decomposition of X
(n_samples > n_features and X is dense).
"""
w = ((singvals_sq + alpha) ** -1) - (alpha**-1)
if self.fit_intercept:
# detect intercept column
normalized_sw = sqrt_sw / np.linalg.norm(sqrt_sw)
intercept_dim = _find_smallest_angle(normalized_sw, U)
# cancel the regularization for the intercept
w[intercept_dim] = -(alpha**-1)
c = np.dot(U, self._diag_dot(w, UT_y)) + (alpha**-1) * y
G_inverse_diag = self._decomp_diag(w, U) + (alpha**-1)
if len(y.shape) != 1:
# handle case where y is 2-d
G_inverse_diag = G_inverse_diag[:, np.newaxis]
return G_inverse_diag, c
def fit(self, X, y, sample_weight=None):
"""Fit Ridge regression model with gcv.
Parameters
----------
X : {ndarray, sparse matrix} of shape (n_samples, n_features)
Training data. Will be cast to float64 if necessary.
y : ndarray of shape (n_samples,) or (n_samples, n_targets)
Target values. Will be cast to float64 if necessary.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
Returns
-------
self : object
"""
X, y = self._validate_data(
X,
y,
accept_sparse=["csr", "csc", "coo"],
dtype=[np.float64],
multi_output=True,
y_numeric=True,
)
# alpha_per_target cannot be used in classifier mode. All subclasses
# of _RidgeGCV that are classifiers keep alpha_per_target at its
# default value: False, so the condition below should never happen.
assert not (self.is_clf and self.alpha_per_target)
if sample_weight is not None:
sample_weight = _check_sample_weight(sample_weight, X, dtype=X.dtype)
self.alphas = np.asarray(self.alphas)
X, y, X_offset, y_offset, X_scale = _preprocess_data(
X,
y,
self.fit_intercept,
copy=self.copy_X,
sample_weight=sample_weight,
)
gcv_mode = _check_gcv_mode(X, self.gcv_mode)
if gcv_mode == "eigen":
decompose = self._eigen_decompose_gram
solve = self._solve_eigen_gram
elif gcv_mode == "svd":
if sparse.issparse(X):
decompose = self._eigen_decompose_covariance
solve = self._solve_eigen_covariance
else:
decompose = self._svd_decompose_design_matrix
solve = self._solve_svd_design_matrix
n_samples = X.shape[0]
if sample_weight is not None:
X, y, sqrt_sw = _rescale_data(X, y, sample_weight)
else:
sqrt_sw = np.ones(n_samples, dtype=X.dtype)
X_mean, *decomposition = decompose(X, y, sqrt_sw)
scorer = check_scoring(self, scoring=self.scoring, allow_none=True)
error = scorer is None
n_y = 1 if len(y.shape) == 1 else y.shape[1]
n_alphas = 1 if np.ndim(self.alphas) == 0 else len(self.alphas)
if self.store_cv_values:
self.cv_values_ = np.empty((n_samples * n_y, n_alphas), dtype=X.dtype)
best_coef, best_score, best_alpha = None, None, None
for i, alpha in enumerate(np.atleast_1d(self.alphas)):
G_inverse_diag, c = solve(float(alpha), y, sqrt_sw, X_mean, *decomposition)
if error:
squared_errors = (c / G_inverse_diag) ** 2
if self.alpha_per_target:
alpha_score = -squared_errors.mean(axis=0)
else:
alpha_score = -squared_errors.mean()
if self.store_cv_values:
self.cv_values_[:, i] = squared_errors.ravel()
else:
predictions = y - (c / G_inverse_diag)
if self.store_cv_values:
self.cv_values_[:, i] = predictions.ravel()
if self.is_clf:
identity_estimator = _IdentityClassifier(classes=np.arange(n_y))
alpha_score = scorer(
identity_estimator, predictions, y.argmax(axis=1)
)
else:
identity_estimator = _IdentityRegressor()
if self.alpha_per_target:
alpha_score = np.array(
[
scorer(identity_estimator, predictions[:, j], y[:, j])
for j in range(n_y)
]
)
else:
alpha_score = scorer(
identity_estimator, predictions.ravel(), y.ravel()
)
# Keep track of the best model
if best_score is None:
# initialize
if self.alpha_per_target and n_y > 1:
best_coef = c
best_score = np.atleast_1d(alpha_score)
best_alpha = np.full(n_y, alpha)
else:
best_coef = c
best_score = alpha_score
best_alpha = alpha
else:
# update
if self.alpha_per_target and n_y > 1:
to_update = alpha_score > best_score
best_coef[:, to_update] = c[:, to_update]
best_score[to_update] = alpha_score[to_update]
best_alpha[to_update] = alpha
elif alpha_score > best_score:
best_coef, best_score, best_alpha = c, alpha_score, alpha
self.alpha_ = best_alpha
self.best_score_ = best_score
self.dual_coef_ = best_coef
self.coef_ = safe_sparse_dot(self.dual_coef_.T, X)
if sparse.issparse(X):
X_offset = X_mean * X_scale
else:
X_offset += X_mean * X_scale
self._set_intercept(X_offset, y_offset, X_scale)
if self.store_cv_values:
if len(y.shape) == 1:
cv_values_shape = n_samples, n_alphas
else:
cv_values_shape = n_samples, n_y, n_alphas
self.cv_values_ = self.cv_values_.reshape(cv_values_shape)
return self
class _BaseRidgeCV(LinearModel):
_parameter_constraints: dict = {
"alphas": ["array-like", Interval(Real, 0, None, closed="neither")],
"fit_intercept": ["boolean"],
"scoring": [StrOptions(set(get_scorer_names())), callable, None],
"cv": ["cv_object"],
"gcv_mode": [StrOptions({"auto", "svd", "eigen"}), None],
"store_cv_values": ["boolean"],
"alpha_per_target": ["boolean"],
}
def __init__(
self,
alphas=(0.1, 1.0, 10.0),
*,
fit_intercept=True,
scoring=None,
cv=None,
gcv_mode=None,
store_cv_values=False,
alpha_per_target=False,
):
self.alphas = alphas
self.fit_intercept = fit_intercept
self.scoring = scoring
self.cv = cv
self.gcv_mode = gcv_mode
self.store_cv_values = store_cv_values
self.alpha_per_target = alpha_per_target
def fit(self, X, y, sample_weight=None):
"""Fit Ridge regression model with cv.
Parameters
----------
X : ndarray of shape (n_samples, n_features)
Training data. If using GCV, will be cast to float64
if necessary.
y : ndarray of shape (n_samples,) or (n_samples, n_targets)
Target values. Will be cast to X's dtype if necessary.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
Returns
-------
self : object
Fitted estimator.
Notes
-----
When sample_weight is provided, the selected hyperparameter may depend
on whether we use leave-one-out cross-validation (cv=None or cv='auto')
or another form of cross-validation, because only leave-one-out
cross-validation takes the sample weights into account when computing
the validation score.
"""
cv = self.cv
check_scalar_alpha = partial(
check_scalar,
target_type=numbers.Real,
min_val=0.0,
include_boundaries="neither",
)
if isinstance(self.alphas, (np.ndarray, list, tuple)):
n_alphas = 1 if np.ndim(self.alphas) == 0 else len(self.alphas)
if n_alphas != 1:
for index, alpha in enumerate(self.alphas):
alpha = check_scalar_alpha(alpha, f"alphas[{index}]")
else:
self.alphas[0] = check_scalar_alpha(self.alphas[0], "alphas")
alphas = np.asarray(self.alphas)
if cv is None:
estimator = _RidgeGCV(
alphas,
fit_intercept=self.fit_intercept,
scoring=self.scoring,
gcv_mode=self.gcv_mode,
store_cv_values=self.store_cv_values,
is_clf=is_classifier(self),
alpha_per_target=self.alpha_per_target,
)
estimator.fit(X, y, sample_weight=sample_weight)
self.alpha_ = estimator.alpha_
self.best_score_ = estimator.best_score_
if self.store_cv_values:
self.cv_values_ = estimator.cv_values_
else:
if self.store_cv_values:
raise ValueError("cv!=None and store_cv_values=True are incompatible")
if self.alpha_per_target:
raise ValueError("cv!=None and alpha_per_target=True are incompatible")
parameters = {"alpha": alphas}
solver = "sparse_cg" if sparse.issparse(X) else "auto"
model = RidgeClassifier if is_classifier(self) else Ridge
gs = GridSearchCV(
model(
fit_intercept=self.fit_intercept,
solver=solver,
),
parameters,
cv=cv,
scoring=self.scoring,
)
gs.fit(X, y, sample_weight=sample_weight)
estimator = gs.best_estimator_
self.alpha_ = gs.best_estimator_.alpha
self.best_score_ = gs.best_score_
self.coef_ = estimator.coef_
self.intercept_ = estimator.intercept_
self.n_features_in_ = estimator.n_features_in_
if hasattr(estimator, "feature_names_in_"):
self.feature_names_in_ = estimator.feature_names_in_
return self
class RidgeCV(MultiOutputMixin, RegressorMixin, _BaseRidgeCV):
"""Ridge regression with built-in cross-validation.
See glossary entry for :term:`cross-validation estimator`.
By default, it performs efficient Leave-One-Out Cross-Validation.
Read more in the :ref:`User Guide <ridge_regression>`.
Parameters
----------
alphas : array-like of shape (n_alphas,), default=(0.1, 1.0, 10.0)
Array of alpha values to try.
Regularization strength; must be a positive float. Regularization
improves the conditioning of the problem and reduces the variance of
the estimates. Larger values specify stronger regularization.
Alpha corresponds to ``1 / (2C)`` in other linear models such as
:class:`~sklearn.linear_model.LogisticRegression` or
:class:`~sklearn.svm.LinearSVC`.
If using Leave-One-Out cross-validation, alphas must be positive.
fit_intercept : bool, default=True
Whether to calculate the intercept for this model. If set
to false, no intercept will be used in calculations
(i.e. data is expected to be centered).
scoring : str, callable, default=None
A string (see model evaluation documentation) or
a scorer callable object / function with signature
``scorer(estimator, X, y)``.
If None, the negative mean squared error if cv is 'auto' or None
(i.e. when using leave-one-out cross-validation), and r2 score
otherwise.
cv : int, cross-validation generator or an iterable, default=None
Determines the cross-validation splitting strategy.
Possible inputs for cv are:
- None, to use the efficient Leave-One-Out cross-validation
- integer, to specify the number of folds.
- :term:`CV splitter`,
- An iterable yielding (train, test) splits as arrays of indices.
For integer/None inputs, if ``y`` is binary or multiclass,
:class:`~sklearn.model_selection.StratifiedKFold` is used, else,
:class:`~sklearn.model_selection.KFold` is used.
Refer :ref:`User Guide <cross_validation>` for the various
cross-validation strategies that can be used here.
gcv_mode : {'auto', 'svd', 'eigen'}, default='auto'
Flag indicating which strategy to use when performing
Leave-One-Out Cross-Validation. Options are::
'auto' : use 'svd' if n_samples > n_features, otherwise use 'eigen'
'svd' : force use of singular value decomposition of X when X is
dense, eigenvalue decomposition of X^T.X when X is sparse.
'eigen' : force computation via eigendecomposition of X.X^T
The 'auto' mode is the default and is intended to pick the cheaper
option of the two depending on the shape of the training data.
store_cv_values : bool, default=False
Flag indicating if the cross-validation values corresponding to
each alpha should be stored in the ``cv_values_`` attribute (see
below). This flag is only compatible with ``cv=None`` (i.e. using
Leave-One-Out Cross-Validation).
alpha_per_target : bool, default=False
Flag indicating whether to optimize the alpha value (picked from the
`alphas` parameter list) for each target separately (for multi-output
settings: multiple prediction targets). When set to `True`, after
fitting, the `alpha_` attribute will contain a value for each target.
When set to `False`, a single alpha is used for all targets.
.. versionadded:: 0.24
Attributes
----------
cv_values_ : ndarray of shape (n_samples, n_alphas) or \
shape (n_samples, n_targets, n_alphas), optional
Cross-validation values for each alpha (only available if
``store_cv_values=True`` and ``cv=None``). After ``fit()`` has been
called, this attribute will contain the mean squared errors if
`scoring is None` otherwise it will contain standardized per point
prediction values.
coef_ : ndarray of shape (n_features) or (n_targets, n_features)
Weight vector(s).
intercept_ : float or ndarray of shape (n_targets,)
Independent term in decision function. Set to 0.0 if
``fit_intercept = False``.
alpha_ : float or ndarray of shape (n_targets,)
Estimated regularization parameter, or, if ``alpha_per_target=True``,
the estimated regularization parameter for each target.
best_score_ : float or ndarray of shape (n_targets,)
Score of base estimator with best alpha, or, if
``alpha_per_target=True``, a score for each target.
.. versionadded:: 0.23
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
Ridge : Ridge regression.
RidgeClassifier : Classifier based on ridge regression on {-1, 1} labels.
RidgeClassifierCV : Ridge classifier with built-in cross validation.
Examples
--------
>>> from sklearn.datasets import load_diabetes
>>> from sklearn.linear_model import RidgeCV
>>> X, y = load_diabetes(return_X_y=True)
>>> clf = RidgeCV(alphas=[1e-3, 1e-2, 1e-1, 1]).fit(X, y)
>>> clf.score(X, y)
0.5166...
"""
def fit(self, X, y, sample_weight=None):
"""Fit Ridge regression model with cv.
Parameters
----------
X : ndarray of shape (n_samples, n_features)
Training data. If using GCV, will be cast to float64
if necessary.
y : ndarray of shape (n_samples,) or (n_samples, n_targets)
Target values. Will be cast to X's dtype if necessary.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
Returns
-------
self : object
Fitted estimator.
Notes
-----
When sample_weight is provided, the selected hyperparameter may depend
on whether we use leave-one-out cross-validation (cv=None or cv='auto')
or another form of cross-validation, because only leave-one-out
cross-validation takes the sample weights into account when computing
the validation score.
"""
self._validate_params()
super().fit(X, y, sample_weight=sample_weight)
return self
class RidgeClassifierCV(_RidgeClassifierMixin, _BaseRidgeCV):
"""Ridge classifier with built-in cross-validation.
See glossary entry for :term:`cross-validation estimator`.
By default, it performs Leave-One-Out Cross-Validation. Currently,
only the n_features > n_samples case is handled efficiently.
Read more in the :ref:`User Guide <ridge_regression>`.
Parameters
----------
alphas : array-like of shape (n_alphas,), default=(0.1, 1.0, 10.0)
Array of alpha values to try.
Regularization strength; must be a positive float. Regularization
improves the conditioning of the problem and reduces the variance of
the estimates. Larger values specify stronger regularization.
Alpha corresponds to ``1 / (2C)`` in other linear models such as
:class:`~sklearn.linear_model.LogisticRegression` or
:class:`~sklearn.svm.LinearSVC`.
fit_intercept : bool, default=True
Whether to calculate the intercept for this model. If set
to false, no intercept will be used in calculations
(i.e. data is expected to be centered).
scoring : str, callable, default=None
A string (see model evaluation documentation) or
a scorer callable object / function with signature
``scorer(estimator, X, y)``.
cv : int, cross-validation generator or an iterable, default=None
Determines the cross-validation splitting strategy.
Possible inputs for cv are:
- None, to use the efficient Leave-One-Out cross-validation
- integer, to specify the number of folds.
- :term:`CV splitter`,
- An iterable yielding (train, test) splits as arrays of indices.
Refer :ref:`User Guide <cross_validation>` for the various
cross-validation strategies that can be used here.
class_weight : dict or 'balanced', default=None
Weights associated with classes in the form ``{class_label: weight}``.
If not given, all classes are supposed to have weight one.
The "balanced" mode uses the values of y to automatically adjust
weights inversely proportional to class frequencies in the input data
as ``n_samples / (n_classes * np.bincount(y))``.
store_cv_values : bool, default=False
Flag indicating if the cross-validation values corresponding to
each alpha should be stored in the ``cv_values_`` attribute (see
below). This flag is only compatible with ``cv=None`` (i.e. using
Leave-One-Out Cross-Validation).
Attributes
----------
cv_values_ : ndarray of shape (n_samples, n_targets, n_alphas), optional
Cross-validation values for each alpha (only if ``store_cv_values=True`` and
``cv=None``). After ``fit()`` has been called, this attribute will
contain the mean squared errors if `scoring is None` otherwise it
will contain standardized per point prediction values.
coef_ : ndarray of shape (1, n_features) or (n_targets, n_features)
Coefficient of the features in the decision function.
``coef_`` is of shape (1, n_features) when the given problem is binary.
intercept_ : float or ndarray of shape (n_targets,)
Independent term in decision function. Set to 0.0 if
``fit_intercept = False``.
alpha_ : float
Estimated regularization parameter.
best_score_ : float
Score of base estimator with best alpha.
.. versionadded:: 0.23
classes_ : ndarray of shape (n_classes,)
The classes labels.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
See Also
--------
Ridge : Ridge regression.
RidgeClassifier : Ridge classifier.
RidgeCV : Ridge regression with built-in cross validation.
Notes
-----
For multi-class classification, n_class classifiers are trained in
a one-versus-all approach. Concretely, this is implemented by taking
advantage of the multi-variate response support in Ridge.
Examples
--------
>>> from sklearn.datasets import load_breast_cancer
>>> from sklearn.linear_model import RidgeClassifierCV
>>> X, y = load_breast_cancer(return_X_y=True)
>>> clf = RidgeClassifierCV(alphas=[1e-3, 1e-2, 1e-1, 1]).fit(X, y)
>>> clf.score(X, y)
0.9630...
"""
_parameter_constraints: dict = {
**_BaseRidgeCV._parameter_constraints,
"class_weight": [dict, StrOptions({"balanced"}), None],
}
for param in ("gcv_mode", "alpha_per_target"):
_parameter_constraints.pop(param)
def __init__(
self,
alphas=(0.1, 1.0, 10.0),
*,
fit_intercept=True,
scoring=None,
cv=None,
class_weight=None,
store_cv_values=False,
):
super().__init__(
alphas=alphas,
fit_intercept=fit_intercept,
scoring=scoring,
cv=cv,
store_cv_values=store_cv_values,
)
self.class_weight = class_weight
def fit(self, X, y, sample_weight=None):
"""Fit Ridge classifier with cv.
Parameters
----------
X : ndarray of shape (n_samples, n_features)
Training vectors, where `n_samples` is the number of samples
and `n_features` is the number of features. When using GCV,
will be cast to float64 if necessary.
y : ndarray of shape (n_samples,)
Target values. Will be cast to X's dtype if necessary.
sample_weight : float or ndarray of shape (n_samples,), default=None
Individual weights for each sample. If given a float, every sample
will have the same weight.
Returns
-------
self : object
Fitted estimator.
"""
self._validate_params()
# `RidgeClassifier` does not accept "sag" or "saga" solver and thus support
# csr, csc, and coo sparse matrices. By using solver="eigen" we force to accept
# all sparse format.
X, y, sample_weight, Y = self._prepare_data(X, y, sample_weight, solver="eigen")
# If cv is None, gcv mode will be used and we used the binarized Y
# since y will not be binarized in _RidgeGCV estimator.
# If cv is not None, a GridSearchCV with some RidgeClassifier
# estimators are used where y will be binarized. Thus, we pass y
# instead of the binarized Y.
target = Y if self.cv is None else y
super().fit(X, target, sample_weight=sample_weight)
return self
def _more_tags(self):
return {
"multilabel": True,
"_xfail_checks": {
"check_sample_weights_invariance": (
"zero sample_weight is not equivalent to removing samples"
),
},
}
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