sklearn.linear_model.MultiTaskElasticNet¶

class sklearn.linear_model.MultiTaskElasticNet(alpha=1.0, l1_ratio=0.5, fit_intercept=True, normalize=False, copy_X=True, max_iter=1000, tol=0.0001, warm_start=False)¶

Multi-task ElasticNet model trained with L1/L2 mixed-norm as regularizer

The optimization objective for Lasso is:

(1 / (2 * n_samples)) * ||Y - XW||^Fro_2
+ alpha * l1_ratio * ||W||_21
+ 0.5 * alpha * (1 - l1_ratio) * ||W||_Fro^2

Where:

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

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

Parameters :

alpha : float, optional

Constant that multiplies the L1/L2 term. Defaults to 1.0

l1_ratio : float

The ElasticNet mixing parameter, with 0 < l1_ratio <= 1. For l1_ratio = 0 the penalty is an L1/L2 penalty. For l1_ratio = 1 it is an L1 penalty. For 0 < l1_ratio < 1, the penalty is a combination of L1/L2 and L2.

fit_intercept : boolean

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).

normalize : boolean, optional, default False

If True, the regressors X will be normalized before regression.

copy_X : boolean, optional, default True

If True, X will be copied; else, it may be overwritten.

max_iter : int, optional

The maximum number of iterations

tol : float, optional

The tolerance for the optimization: if the updates are smaller than tol, the optimization code checks the dual gap for optimality and continues until it is smaller than tol.

warm_start : bool, optional

When set to True, reuse the solution of the previous call to fit as initialization, otherwise, just erase the previous solution.

See also

ElasticNet, MultiTaskLasso

Notes

The algorithm used to fit the model is coordinate descent.

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 import linear_model
>>> clf = linear_model.MultiTaskElasticNet(alpha=0.1)
>>> clf.fit([[0,0], [1, 1], [2, 2]], [[0, 0], [1, 1], [2, 2]])
... 
MultiTaskElasticNet(alpha=0.1, copy_X=True, fit_intercept=True,
        l1_ratio=0.5, max_iter=1000, normalize=False, tol=0.0001,
        warm_start=False)
>>> print(clf.coef_)
[[ 0.45663524  0.45612256]
 [ 0.45663524  0.45612256]]
>>> print(clf.intercept_)
[ 0.0872422  0.0872422]

Attributes

`intercept_`	array, shape = (n_tasks,)	Independent term in decision function.
`coef_`	array, shape = (n_tasks, n_features)	Parameter vector (W in the cost function formula). If a 1D y is passed in at fit (non multi-task usage), `coef_` is then a 1D array

Methods

`decision_function`(X)	Decision function of the linear model
`fit`(X, y)	Fit MultiTaskLasso model with coordinate descent
`get_params`([deep])	Get parameters for this estimator.
`path`(X, y[, l1_ratio, eps, n_alphas, ...])	Compute Elastic-Net path with coordinate descent
`predict`(X)	Predict using the linear model
`score`(X, y)	Returns the coefficient of determination R^2 of the prediction.
`set_params`(**params)	Set the parameters of this estimator.

__init__(alpha=1.0, l1_ratio=0.5, fit_intercept=True, normalize=False, copy_X=True, max_iter=1000, tol=0.0001, warm_start=False)¶

decision_function(X)¶

Decision function of the linear model

Parameters :

X : numpy array or scipy.sparse matrix of shape (n_samples, n_features)

Returns :

T : array, shape = (n_samples,)

The predicted decision function

fit(X, y)¶

Fit MultiTaskLasso model with coordinate descent

Parameters :

X: ndarray, shape = (n_samples, n_features) :

Data

y: ndarray, shape = (n_samples, n_tasks) :

Target

Notes

Coordinate descent is an algorithm that considers each column of data at a time hence it will automatically convert the X input as a Fortran-contiguous numpy array if necessary.

To avoid memory re-allocation it is advised to allocate the initial data in memory directly using that format.

get_params(deep=True)¶

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, l1_ratio=0.5, eps=0.001, n_alphas=100, alphas=None, precompute='auto', Xy=None, fit_intercept=True, normalize=False, copy_X=True, coef_init=None, verbose=False, return_models=False, **params)¶

Compute Elastic-Net path with coordinate descent

The Elastic Net optimization function is:

1 / (2 * n_samples) * ||y - Xw||^2_2 +
+ alpha * l1_ratio * ||w||_1
+ 0.5 * alpha * (1 - l1_ratio) * ||w||^2_2

Parameters :

X : {array-like, sparse matrix}, shape (n_samples, n_features)

Training data. Pass directly as Fortran-contiguous data to avoid unnecessary memory duplication

y : ndarray, shape = (n_samples,)

Target values

l1_ratio : float, optional

float between 0 and 1 passed to ElasticNet (scaling between l1 and l2 penalties). l1_ratio=1 corresponds to the Lasso

eps : float

Length of the path. eps=1e-3 means that alpha_min / alpha_max = 1e-3

n_alphas : int, optional

Number of alphas along the regularization path

alphas : ndarray, optional

List of alphas where to compute the models. If None alphas are set automatically

precompute : True | False | ‘auto’ | array-like

Whether to use a precomputed Gram matrix to speed up calculations. If set to 'auto' let us decide. The Gram matrix can also be passed as argument.

Xy : array-like, optional

Xy = np.dot(X.T, y) that can be precomputed. It is useful only when the Gram matrix is precomputed.

fit_intercept : bool

Fit or not an intercept. WARNING : will be deprecated in 0.16

normalize : boolean, optional, default False

If True, the regressors X will be normalized before regression. WARNING : will be deprecated in 0.16

copy_X : boolean, optional, default True

If True, X will be copied; else, it may be overwritten.

coef_init : array, shape (n_features, ) | None

The initial values of the coefficients.

verbose : bool or integer

Amount of verbosity

return_models : boolean, optional, default False

If True, the function will return list of models. Setting it to False will change the function output returning the values of the alphas and the coefficients along the path. Returning the model list will be removed in version 0.16.

params : kwargs

keyword arguments passed to the coordinate descent solver.

Returns :

models : a list of models along the regularization path

(Is returned if return_models is set True (default).

alphas : array, shape: [n_alphas + 1]

The alphas along the path where models are computed. (Is returned, along with coefs, when return_models is set to False)

coefs : shape (n_features, n_alphas + 1)

Coefficients along the path. (Is returned, along with alphas, when return_models is set to False).

dual_gaps : shape (n_alphas + 1)

The dual gaps at the end of the optimization for each alpha. (Is returned, along with alphas, when return_models is set to False).