3.2.4.1.3. `sklearn.linear_model`.LassoCV¶

class sklearn.linear_model.LassoCV(eps=0.001, n_alphas=100, alphas=None, fit_intercept=True, normalize=False, precompute='auto', max_iter=1000, tol=0.0001, copy_X=True, cv='warn', verbose=False, n_jobs=None, positive=False, random_state=None, selection='cyclic')[source]¶

Lasso linear model with iterative fitting along a regularization path.

See glossary entry for cross-validation estimator.

The best model is selected by cross-validation.

The optimization objective for Lasso is:

(1 / (2 * n_samples)) * ||y - Xw||^2_2 + alpha * ||w||_1

Notes

For an example, see examples/linear_model/plot_lasso_model_selection.py.

To avoid unnecessary memory duplication the X argument of the fit method should be directly passed as a Fortran-contiguous numpy array.

Examples

>>> from sklearn.linear_model import LassoCV
>>> from sklearn.datasets import make_regression
>>> X, y = make_regression(noise=4, random_state=0)
>>> reg = LassoCV(cv=5, random_state=0).fit(X, y)
>>> reg.score(X, y) # doctest: +ELLIPSIS
0.9993...
>>> reg.predict(X[:1,])
array([-78.4951...])

Methods

`fit`(X, y)	Fit linear model with coordinate descent
`get_params`([deep])	Get parameters for this estimator.
`path`(X, y[, eps, n_alphas, alphas, …])	Compute Lasso path with coordinate descent
`predict`(X)	Predict using the linear model
`score`(X, y[, sample_weight])	Returns the coefficient of determination R^2 of the prediction.
`set_params`(**params)	Set the parameters of this estimator.

__init__(eps=0.001, n_alphas=100, alphas=None, fit_intercept=True, normalize=False, precompute='auto', max_iter=1000, tol=0.0001, copy_X=True, cv='warn', verbose=False, n_jobs=None, positive=False, random_state=None, selection='cyclic')[source]¶: Initialize self. See help(type(self)) for accurate signature.

fit(X, y)[source]¶

Fit linear model with coordinate descent

Fit is on grid of alphas and best alpha estimated by cross-validation.

Parameters:	X : {array-like}, shape (n_samples, n_features) Training data. Pass directly as Fortran-contiguous data to avoid unnecessary memory duplication. If y is mono-output, X can be sparse. y : array-like, shape (n_samples,) or (n_samples, n_targets) Target values

get_params(deep=True)[source]¶

Get parameters for this estimator.

Parameters:	deep : boolean, optional If True, will return the parameters for this estimator and contained subobjects that are estimators.
Returns:	params : mapping of string to any Parameter names mapped to their values.

static path(X, y, eps=0.001, n_alphas=100, alphas=None, precompute='auto', Xy=None, copy_X=True, coef_init=None, verbose=False, return_n_iter=False, positive=False, **params)[source]¶

Compute Lasso path with coordinate descent

The Lasso optimization function varies for mono and multi-outputs.

For mono-output tasks it is:

(1 / (2 * n_samples)) * ||y - Xw||^2_2 + alpha * ||w||_1

For multi-output tasks it is:

(1 / (2 * n_samples)) * ||Y - XW||^2_Fro + alpha * ||W||_21

Where:

||W||_21 = \sum_i \sqrt{\sum_j w_{ij}^2}

i.e. the sum of norm of each row.

Notes

For an example, see examples/linear_model/plot_lasso_coordinate_descent_path.py.

To avoid unnecessary memory duplication the X argument of the fit method should be directly passed as a Fortran-contiguous numpy array.

Note that in certain cases, the Lars solver may be significantly faster to implement this functionality. In particular, linear interpolation can be used to retrieve model coefficients between the values output by lars_path

Examples

Comparing lasso_path and lars_path with interpolation:

>>> X = np.array([[1, 2, 3.1], [2.3, 5.4, 4.3]]).T
>>> y = np.array([1, 2, 3.1])
>>> # Use lasso_path to compute a coefficient path
>>> _, coef_path, _ = lasso_path(X, y, alphas=[5., 1., .5])
>>> print(coef_path)
[[0.         0.         0.46874778]
 [0.2159048  0.4425765  0.23689075]]

>>> # Now use lars_path and 1D linear interpolation to compute the
>>> # same path
>>> from sklearn.linear_model import lars_path
>>> alphas, active, coef_path_lars = lars_path(X, y, method='lasso')
>>> from scipy import interpolate
>>> coef_path_continuous = interpolate.interp1d(alphas[::-1],
...                                             coef_path_lars[:, ::-1])
>>> print(coef_path_continuous([5., 1., .5]))
[[0.         0.         0.46915237]
 [0.2159048  0.4425765  0.23668876]]

predict(X)[source]¶

Predict using the linear model

Parameters:	X : array_like or sparse matrix, shape (n_samples, n_features) Samples.
Returns:	C : array, shape (n_samples,) Returns predicted values.

score(X, y, sample_weight=None)[source]¶

Returns the coefficient of determination R^2 of the prediction.

The coefficient R^2 is defined as (1 - u/v), where u is the residual sum of squares ((y_true - y_pred) ** 2).sum() and v is the total sum of squares ((y_true - y_true.mean()) ** 2).sum(). The best possible score is 1.0 and it can be negative (because the model can be arbitrarily worse). A constant model that always predicts the expected value of y, disregarding the input features, would get a R^2 score of 0.0.

Parameters:

X : array-like, shape = (n_samples, n_features): Test samples. For some estimators this may be a precomputed kernel matrix instead, shape = (n_samples, n_samples_fitted], where n_samples_fitted is the number of samples used in the fitting for the estimator.
y : array-like, shape = (n_samples) or (n_samples, n_outputs): True values for X.
sample_weight : array-like, shape = [n_samples], optional: Sample weights.

Returns:

score : float: R^2 of self.predict(X) wrt. y.

set_params(**params)[source]¶

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as pipelines). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Returns:	self

3.2.4.1.3.1. Examples using `sklearn.linear_model.LassoCV`¶

Cross-validation on diabetes Dataset Exercise

Feature selection using SelectFromModel and LassoCV

Lasso model selection: Cross-Validation / AIC / BIC

3.2.4.1.3. sklearn.linear_model.LassoCV¶

3.2.4.1.3.1. Examples using sklearn.linear_model.LassoCV¶

3.2.4.1.3. `sklearn.linear_model`.LassoCV¶

3.2.4.1.3.1. Examples using `sklearn.linear_model.LassoCV`¶