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2 documentation

1.1. Linear Models

The following are a set of methods intended for regression in which the target value is expected to be a linear combination of the features. In math‐
ematical notation, if y
^ is the predicted value.

^
y(w, x) = w 0 + w 1 x 1 +. . . +w p x p

Across the module, we designate the vector w = (w 1 , . . . , w p ) as coef_ and w 0 as intercept_ .

To perform classification with generalized linear models, see Logistic regression.

1.1.1. Ordinary Least Squares ¶

LinearRegression fits a linear model with coefficients to minimize the residual sum of squares between the observed targets
w = (w 1 , . . . , w p )

in the dataset, and the targets predicted by the linear approximation. Mathematically it solves a problem of the form:

2
min ||Xw − y|| 2
w

LinearRegression will take in its fit method arrays X , y and will store the coefficients w of the linear model in its coef_ member:

>>> from sklearn import linear_model

>>> reg = linear_model.LinearRegression()
>>> reg.fit([[0, 0], [1, 1], [2, 2]], [0, 1, 2])
LinearRegression()
>>> reg.coef_
array([0.5, 0.5])

The coefficient estimates for Ordinary Least Squares rely on the independence of the features. When features are correlated and the columns of the
design matrix X have an approximately linear dependence, the design matrix becomes close to singular and as a result, the least-squares estimate
becomes highly sensitive to random errors in the observed target, producing a large variance. This situation of multicollinearity can arise, for exam‐
ple, when data are collected without an experimental design.

Examples:
Linear Regression Example

1.1.1.1. Non-Negative Least Squares

It is possible to constrain all the coefficients to be non-negative, which may be useful when they represent some physical or naturally non-negative
quantities (e.g., frequency counts or prices of goods). LinearRegression accepts a boolean positive parameter: when set to True Non-Negative
Least Squares are then applied.

Examples:

Non-negative least squares

1.1.1.2. Ordinary Least Squares Complexity

The least squares solution is computed using the singular value decomposition of X. If X is a matrix of shape (n_samples, n_features) this
method has a cost of O(n samples n 2features ), assuming that n samples ≥ n f eatures .
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1.1.2. Ridge regression and classification

1.1.2.1. Regression
Ridge regression addresses some of the problems of Ordinary Least Squares by imposing a penalty on the size of the coefficients. The ridge coeffi‐
cients minimize a penalized residual sum of squares:

2 2
min ||Xw − y|| 2 + α||w|| 2
w

The complexity parameter α ≥ 0 controls the amount of shrinkage: the larger the value of α, the greater the amount of shrinkage and thus the co‐
efficients become more robust to collinearity.

As with other linear models, Ridge will take in its fit method arrays X , y and will store the coefficients w of the linear model in its coef_
member:

>>> from sklearn import linear_model

>>> reg = linear_model.Ridge(alpha=.5)
>>> reg.fit([[0, 0], [0, 0], [1, 1]], [0, .1, 1])
Ridge(alpha=0.5)
>>> reg.coef_
array([0.34545455, 0.34545455])
>>> reg.intercept_
0.13636...

Note that the class Ridge allows for the user to specify that the solver be automatically chosen by setting solver="auto" . When this option is spec‐
ified, Ridge will choose between the "lbfgs" , "cholesky" , and "sparse_cg" solvers. Ridge will begin checking the conditions shown in the fol‐
lowing table from top to bottom. If the condition is true, the corresponding solver is chosen.

Solver Condition
‘lbfgs’ The positive=True option is specified.
‘cholesky’ The input array X is not sparse.
‘sparse_cg’ None of the above conditions are fulfilled.

1.1.2.2. Classification
The Ridge regressor has a classifier variant: RidgeClassifier. This classifier first converts binary targets to {-1, 1} and then treats the problem as
a regression task, optimizing the same objective as above. The predicted class corresponds to the sign of the regressor’s prediction. For multiclass
classification, the problem is treated as multi-output regression, and the predicted class corresponds to the output with the highest value.

It might seem questionable to use a (penalized) Least Squares loss to fit a classification model instead of the more traditional logistic or hinge
losses. However, in practice, all those models can lead to similar cross-validation scores in terms of accuracy or precision/recall, while the penalized
least squares loss used by the RidgeClassifier allows for a very different choice of the numerical solvers with distinct computational performance
profiles.

The RidgeClassifier can be significantly faster than e.g. LogisticRegression with a high number of classes because it can compute the projection
matrix (X T X) −1 X T only once.

This classifier is sometimes referred to as a Least Squares Support Vector Machines with a linear kernel.

Examples:

Plot Ridge coefficients as a function of the regularization

Classification of text documents using sparse features
Common pitfalls in the interpretation of coefficients of linear models

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1.1.2.3. Ridge Complexity

This method has the same order of complexity as Ordinary Least Squares.

1.1.2.4. Setting the regularization parameter: leave-one-out Cross-Validation

RidgeCV implements ridge regression with built-in cross-validation of the alpha parameter. The object works in the same way as GridSearchCV ex‐
cept that it defaults to Leave-One-Out Cross-Validation:

>>> import numpy as np

>>> from sklearn import linear_model
>>> reg = linear_model.RidgeCV(alphas=np.logspace(-6, 6, 13))
>>> reg.fit([[0, 0], [0, 0], [1, 1]], [0, .1, 1])
RidgeCV(alphas=array([1.e-06, 1.e-05, 1.e-04, 1.e-03, 1.e-02, 1.e-01, 1.e+00, 1.e+01,
1.e+02, 1.e+03, 1.e+04, 1.e+05, 1.e+06]))
>>> reg.alpha_
0.01

Specifying the value of the cv attribute will trigger the use of cross-validation with GridSearchCV, for example cv=10 for 10-fold cross-validation,
rather than Leave-One-Out Cross-Validation.

References

1.1.3. Lasso
The Lasso is a linear model that estimates sparse coefficients. It is useful in some contexts due to its tendency to prefer solutions with fewer non-
zero coefficients, effectively reducing the number of features upon which the given solution is dependent. For this reason, Lasso and its variants are
fundamental to the field of compressed sensing. Under certain conditions, it can recover the exact set of non-zero coefficients (see Compressive
sensing: tomography reconstruction with L1 prior (Lasso)).

Mathematically, it consists of a linear model with an added regularization term. The objective function to minimize is:

1
2
min ||Xw − y|| 2 + α||w|| 1
w 2n samples

The lasso estimate thus solves the minimization of the least-squares penalty with α||w|| 1 added, where α is a constant and ||w|| 1 is the ℓ 1 -norm of
the coefficient vector.

The implementation in the class Lasso uses coordinate descent as the algorithm to fit the coefficients. See Least Angle Regression for another
implementation:

>>> from sklearn import linear_model

>>> reg = linear_model.Lasso(alpha=0.1)
>>> reg.fit([[0, 0], [1, 1]], [0, 1])
Lasso(alpha=0.1)
>>> reg.predict([[1, 1]])
array([0.8])

The function lasso_path is useful for lower-level tasks, as it computes the coefficients along the full path of possible values.

Examples:

L1-based models for Sparse Signals

Compressive sensing: tomography reconstruction with L1 prior (Lasso)
Common pitfalls in the interpretation of coefficients of linear models

Note: Feature selection with Lasso

As the Lasso regression yields sparse models, it can thus be used to perform feature selection, as detailed in L1-based feature selection.

References

1.1.3.1. Setting regularization parameter

The alpha parameter controls the degree of sparsity of the estimated coefficients.
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Using cross-validation
scikit-learn exposes objects that set the Lasso alpha parameter by cross-validation: LassoCV and LassoLarsCV. LassoLarsCV is based on the Least
Angle Regression algorithm explained below.

For high-dimensional datasets with many collinear features, LassoCV is most often preferable. However, LassoLarsCV has the advantage of explor‐
ing more relevant values of alpha parameter, and if the number of samples is very small compared to the number of features, it is often faster
than LassoCV.

Information-criteria based model selection

Alternatively, the estimator LassoLarsIC proposes to use the Akaike information criterion (AIC) and the Bayes Information criterion (BIC). It is a
computationally cheaper alternative to find the optimal value of alpha as the regularization path is computed only once instead of k+1 times when
using k-fold cross-validation.

Indeed, these criteria are computed on the in-sample training set. In short, they penalize the over-optimistic scores of the different Lasso models by
their flexibility (cf. to “Mathematical details” section below).

However, such criteria need a proper estimation of the degrees of freedom of the solution, are derived for large samples (asymptotic results) and
assume the correct model is candidates under investigation. They also tend to break when the problem is badly conditioned (e.g. more features
than samples).

Examples:
Lasso model selection: AIC-BIC / cross-validation
Lasso model selection via information criteria

AIC and BIC criteria

The definition of AIC (and thus BIC) might differ in the literature. In this section, we give more information regarding the criterion computed in
scikit-learn.

Mathematical details

Comparison with the regularization parameter of SVM

The equivalence between alpha and the regularization parameter of SVM, C is given by alpha = 1 / C or alpha = 1 / (n_samples * C) , de‐
pending on the estimator and the exact objective function optimized by the model.

1.1.4. Multi-task Lasso

The MultiTaskLasso is a linear model that estimates sparse coefficients for multiple regression problems jointly: y is a 2D array, of shape
(n_samples, n_tasks) . The constraint is that the selected features are the same for all the regression problems, also called tasks.

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The following figure compares the location of the non-zero entries in the coefficient matrix W obtained with a simple Lasso or a MultiTaskLasso.
The Lasso estimates yield scattered non-zeros while the non-zeros of the MultiTaskLasso are full columns.

Fitting a time-series model, imposing that any active feature be active at all times.

Examples:
Joint feature selection with multi-task Lasso

Mathematical details

1.1.5. Elastic-Net
ElasticNet is a linear regression model trained with both ℓ 1 and ℓ 2 -norm regularization of the coefficients. This combination allows for learning a
sparse model where few of the weights are non-zero like Lasso, while still maintaining the regularization properties of Ridge. We control the con‐
vex combination of ℓ 1 and ℓ 2 using the l1_ratio parameter.

Elastic-net is useful when there are multiple features that are correlated with one another. Lasso is likely to pick one of these at random, while elas‐
tic-net is likely to pick both.

A practical advantage of trading-off between Lasso and Ridge is that it allows Elastic-Net to inherit some of Ridge’s stability under rotation.

The objective function to minimize is in this case

1 α(1 − ρ)
2 2
min ||Xw − y|| 2 + αρ||w|| 1 + ||w|| 2
w 2n samples 2

The class ElasticNetCV can be used to set the parameters alpha (α) and l1_ratio (ρ) by cross-validation.

Examples:

L1-based models for Sparse Signals

Lasso and Elastic Net

References

1.1.6. Multi-task Elastic-Net

The MultiTaskElasticNet is an elastic-net model that estimates sparse coefficients for multiple regression problems jointly: Y is a 2D array of
shape (n_samples, n_tasks) . The constraint is that the selected features are the same for all the regression problems, also called tasks.
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Mathematically, it consists of a linear model trained with a mixed ℓ 1 ℓ2 -norm and ℓ 2 -norm for regularization. The objective function to minimize is:

1 α(1 − ρ)
2 2
min ||XW − Y || + αρ||W || 21 + ||W ||
Fro Fro
W 2n samples 2

The implementation in the class MultiTaskElasticNet uses coordinate descent as the algorithm to fit the coefficients.

The class MultiTaskElasticNetCV can be used to set the parameters alpha (α) and l1_ratio (ρ) by cross-validation.

1.1.7. Least Angle Regression

Least-angle regression (LARS) is a regression algorithm for high-dimensional data, developed by Bradley Efron, Trevor Hastie, Iain Johnstone and
Robert Tibshirani. LARS is similar to forward stepwise regression. At each step, it finds the feature most correlated with the target. When there are
multiple features having equal correlation, instead of continuing along the same feature, it proceeds in a direction equiangular between the
features.

The advantages of LARS are:

It is numerically efficient in contexts where the number of features is significantly greater than the number of samples.
It is computationally just as fast as forward selection and has the same order of complexity as ordinary least squares.
It produces a full piecewise linear solution path, which is useful in cross-validation or similar attempts to tune the model.
If two features are almost equally correlated with the target, then their coefficients should increase at approximately the same rate. The algo‐
rithm thus behaves as intuition would expect, and also is more stable.
It is easily modified to produce solutions for other estimators, like the Lasso.

The disadvantages of the LARS method include:

Because LARS is based upon an iterative refitting of the residuals, it would appear to be especially sensitive to the effects of noise. This problem
is discussed in detail by Weisberg in the discussion section of the Efron et al. (2004) Annals of Statistics article.

The LARS model can be used via the estimator Lars, or its low-level implementation lars_path or lars_path_gram.

1.1.8. LARS Lasso

LassoLars is a lasso model implemented using the LARS algorithm, and unlike the implementation based on coordinate descent, this yields the ex‐
act solution, which is piecewise linear as a function of the norm of its coefficients.

>>> from sklearn import linear_model

>>> reg = linear_model.LassoLars(alpha=.1)
>>> reg.fit([[0, 0], [1, 1]], [0, 1])
LassoLars(alpha=0.1)
>>> reg.coef_
array([0.6..., 0. ])

Examples:

Lasso path using LARS

The Lars algorithm provides the full path of the coefficients along the regularization parameter almost for free, thus a common operation is to re‐
trieve the path with one of the functions lars_path or lars_path_gram.

Mathematical formulation

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1.1.9. Orthogonal Matching Pursuit (OMP)

OrthogonalMatchingPursuit and orthogonal_mp implement the OMP algorithm for approximating the fit of a linear model with constraints im‐
posed on the number of non-zero coefficients (ie. the ℓ 0 pseudo-norm).

Being a forward feature selection method like Least Angle Regression, orthogonal matching pursuit can approximate the optimum solution vector
with a fixed number of non-zero elements:

2
arg min ||y − Xw|| subject to ||w|| 0 ≤ n nonzero\_coef s
2
w

Alternatively, orthogonal matching pursuit can target a specific error instead of a specific number of non-zero coefficients. This can be expressed as:

2
arg min ||w|| 0 subject to ||y − Xw|| 2 ≤ tol
w

OMP is based on a greedy algorithm that includes at each step the atom most highly correlated with the current residual. It is similar to the simpler
matching pursuit (MP) method, but better in that at each iteration, the residual is recomputed using an orthogonal projection on the space of the
previously chosen dictionary elements.

Examples:

Orthogonal Matching Pursuit

References

1.1.10. Bayesian Regression

Bayesian regression techniques can be used to include regularization parameters in the estimation procedure: the regularization parameter is not
set in a hard sense but tuned to the data at hand.

This can be done by introducing uninformative priors over the hyper parameters of the model. The ℓ 2 regularization used in Ridge regression and
classification is equivalent to finding a maximum a posteriori estimation under a Gaussian prior over the coefficients w with precision λ −1 . Instead
of setting lambda manually, it is possible to treat it as a random variable to be estimated from the data.

To obtain a fully probabilistic model, the output y is assumed to be Gaussian distributed around Xw:

−1
p(y|X, w, α) = N (y|Xw, α )

where α is again treated as a random variable that is to be estimated from the data.

The advantages of Bayesian Regression are:

It adapts to the data at hand.

It can be used to include regularization parameters in the estimation procedure.

The disadvantages of Bayesian regression include:

Inference of the model can be time consuming.

References

1.1.10.1. Bayesian Ridge Regression

BayesianRidge estimates a probabilistic model of the regression problem as described above. The prior for the coefficient w is given by a spherical
Gaussian:

−1
p(w|λ) = N (w|0, λ Ip )

The priors over α and λ are chosen to be gamma distributions, the conjugate prior for the precision of the Gaussian. The resulting model is called
Bayesian Ridge Regression, and is similar to the classical Ridge.

The parameters w, α and λ are estimated jointly during the fit of the model, the regularization parameters α and λ being estimated by maximizing
the log marginal likelihood. The scikit-learn implementation is based on the algorithm described in Appendix A of (Tipping, 2001) where the update
of the parameters α and λ is done as suggested in (MacKay, 1992). The initial value of the maximization procedure can be set with the hyperpa‐
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rameters alpha_init and lambda_init .

There are four more hyperparameters, α 1 , α 2 , λ 1 and λ 2 of the gamma prior distributions over α and λ. These are usually chosen to be non-infor‐
mative. By default α 1 = α 2 = λ 1 = λ 2 = 10 −6 .

Bayesian Ridge Regression is used for regression:

>>> from sklearn import linear_model

>>> X = [[0., 0.], [1., 1.], [2., 2.], [3., 3.]]
>>> Y = [0., 1., 2., 3.]
>>> reg = linear_model.BayesianRidge()
>>> reg.fit(X, Y)
BayesianRidge()

After being fitted, the model can then be used to predict new values:

>>> reg.predict([[1, 0.]])

array([0.50000013])

The coefficients w of the model can be accessed:

>>> reg.coef_
array([0.49999993, 0.49999993])

Due to the Bayesian framework, the weights found are slightly different to the ones found by Ordinary Least Squares. However, Bayesian Ridge
Regression is more robust to ill-posed problems.

Examples:
Curve Fitting with Bayesian Ridge Regression

References

1.1.10.2. Automatic Relevance Determination - ARD

The Automatic Relevance Determination (as being implemented in ARDRegression) is a kind of linear model which is very similar to the Bayesian
Ridge Regression, but that leads to sparser coefficients w [1] [2].

ARDRegression poses a different prior over : it drops the spherical Gaussian distribution for a centered elliptic Gaussian distribution. This means
w

each coefficient w i can itself be drawn from a Gaussian distribution, centered on zero and with a precision λ i :

−1
p(w|λ) = N (w|0, A )

with A being a positive definite diagonal matrix and diag(A) = λ = {λ 1 , . . . , λ p } .

In contrast to the Bayesian Ridge Regression, each coordinate of w i has its own standard deviation 1

λi
. The prior over all λ i is chosen to be the
same gamma distribution given by the hyperparameters λ 1 and λ 2 .

ARD is also known in the literature as Sparse Bayesian Learning and Relevance Vector Machine [3] [4]. For a worked-out comparison between ARD
and Bayesian Ridge Regression, see the example below.

Examples:
Comparing Linear Bayesian Regressors

References:
[1]
Christopher M. Bishop: Pattern Recognition and Machine Learning, Chapter 7.2.1

[2]
David Wipf and Srikantan Nagarajan: A New View of Automatic Relevance Determination

[3]
Michael E. Tipping: Sparse Bayesian Learning and the Relevance Vector Machine

[4]
Tristan Fletcher: Relevance Vector Machines Explained

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1.1.11. Logistic regression

The logistic regression is implemented in LogisticRegression. Despite its name, it is implemented as a linear model for classification rather than
regression in terms of the scikit-learn/ML nomenclature. The logistic regression is also known in the literature as logit regression, maximum-en‐
tropy classification (MaxEnt) or the log-linear classifier. In this model, the probabilities describing the possible outcomes of a single trial are mod‐
eled using a logistic function.

This implementation can fit binary, One-vs-Rest, or multinomial logistic regression with optional ℓ 1 , ℓ 2 or Elastic-Net regularization.

Note: Regularization
Regularization is applied by default, which is common in machine learning but not in statistics. Another advantage of regularization is that it im‐
proves numerical stability. No regularization amounts to setting C to a very high value.

Note: Logistic Regression as a special case of the Generalized Linear Models (GLM)
Logistic regression is a special case of Generalized Linear Models with a Binomial / Bernoulli conditional distribution and a Logit link. The numer‐
ical output of the logistic regression, which is the predicted probability, can be used as a classifier by applying a threshold (by default 0.5) to it.
This is how it is implemented in scikit-learn, so it expects a categorical target, making the Logistic Regression a classifier.

Examples
L1 Penalty and Sparsity in Logistic Regression
Regularization path of L1- Logistic Regression
Plot multinomial and One-vs-Rest Logistic Regression
Multiclass sparse logistic regression on 20newgroups
MNIST classification using multinomial logistic + L1

1.1.11.1. Binary Case

For notational ease, we assume that the target y i takes values in the set {0, 1} for data point i. Once fitted, the predict_proba method of
LogisticRegression predicts the probability of the positive class P (y i = 1|X i ) as

1
p(X
^ i ) = expit(X i w + w 0 ) = .
1 + exp(−X i w − w 0 )

As an optimization problem, binary class logistic regression with regularization term r(w) minimizes the following cost function:

(1)
n

min C ∑ s i (−y i log(p(X

^ i )) − (1 − y i ) log(1 − p(X
^ i ))) + r(w),
w
i=1

where s i corresponds to the weights assigned by the user to a specific training sample (the vector s is formed by element-wise multiplication of
the class weights and sample weights).

We currently provide four choices for the regularization term r(w) via the penalty argument:

penalty r(w)

None 0

ℓ1 ∥w∥ 1

1 2 1 T
ℓ2 ∥w∥ = w w
2 2 2

1−ρ
ElasticNet 2
w
T
w + ρ∥w∥ 1

For ElasticNet, ρ (which corresponds to the l1_ratio parameter) controls the strength of ℓ 1 regularization vs. ℓ 2 regularization. Elastic-Net is
equivalent to ℓ 1 when ρ = 1 and equivalent to ℓ 2 when ρ = 0.

Note that the scale of the class weights and the sample weights will influence the optimization problem. For instance, multiplying the sample
weights by a constant b > 0 is equivalent to multiplying the (inverse) regularization strength C by b.

1.1.11.2. Multinomial Case

The binary case can be extended to K classes leading to the multinomial logistic regression, see also log-linear model.

Note: It is possible to parameterize a K -class classification model using only K − 1 weight vectors, leaving one class probability fully deter‐
mined by the other class probabilities by leveraging the fact that all class probabilities must sum to one. We deliberately choose to overparame‐
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terize the model using K weight vectors for ease of implementation and to preserve the symmetrical inductive bias regarding ordering of
classes, see [16]. This effect becomes especially important when using regularization. The choice of overparameterization can be detrimental for
unpenalized models since then the solution may not be unique, as shown in [16].

Mathematical details

1.1.11.3. Solvers
The solvers implemented in the class LogisticRegression are “lbfgs”, “liblinear”, “newton-cg”, “newton-cholesky”, “sag” and “saga”:

The following table summarizes the penalties supported by each solver:

Solvers
Penalties ‘lbfgs’ ‘liblinear’ ‘newton-cg’ ‘newton-cholesky’ ‘sag’ ‘saga’
Multinomial + L2 penalty yes no yes no yes yes
OVR + L2 penalty yes yes yes yes yes yes
Multinomial + L1 penalty no no no no no yes
OVR + L1 penalty no yes no no no yes
Elastic-Net no no no no no yes
No penalty (‘none’) yes no yes yes yes yes
Behaviors
Penalize the intercept (bad) no yes no no no no
Faster for large datasets no no no no yes yes
Robust to unscaled datasets yes yes yes yes no no

The “lbfgs” solver is used by default for its robustness. For large datasets the “saga” solver is usually faster. For large dataset, you may also consider
using SGDClassifier with loss="log_loss" , which might be even faster but requires more tuning.

Differences between solvers

There might be a difference in the scores obtained between LogisticRegression with solver=liblinear or LinearSVC and the external liblinear li‐
brary directly, when fit_intercept=False and the fit coef_ (or) the data to be predicted are zeroes. This is because for the sample(s) with
decision_function zero, LogisticRegression and LinearSVC predict the negative class, while liblinear predicts the positive class. Note that a
model with fit_intercept=False and having many samples with decision_function zero, is likely to be a underfit, bad model and you are ad‐
vised to set fit_intercept=True and increase the intercept_scaling .

Solvers’ details

Note: Feature selection with sparse logistic regression

A logistic regression with ℓ 1 penalty yields sparse models, and can thus be used to perform feature selection, as detailed in L1-based feature
selection.

Note: P-value estimation

It is possible to obtain the p-values and confidence intervals for coefficients in cases of regression without penalization. The statsmodels package
natively supports this. Within sklearn, one could use bootstrapping instead as well.

LogisticRegressionCV implements Logistic Regression with built-in cross-validation support, to find the optimal C and l1_ratio parameters ac‐
cording to the scoring attribute. The “newton-cg”, “sag”, “saga” and “lbfgs” solvers are found to be faster for high-dimensional dense data, due to
warm-starting (see Glossary).

1.1.12. Generalized Linear Models

Generalized Linear Models (GLM) extend linear models in two ways [10]. First, the predicted values y
^ are linked to a linear combination of the input

variables X via an inverse link function h as

y(w,
^ X) = h(Xw).

Secondly, the squared loss function is replaced by the unit deviance d of a distribution in the exponential family (or more precisely, a reproductive
exponential dispersion model (EDM) [11]).

The minimization problem becomes:

1 α
2
min ^i ) +
∑ d(y i , y ||w|| 2 ,
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i
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where α is the L2 regularization penalty. When sample weights are provided, the average becomes a weighted average.

The following table lists some specific EDMs and their unit deviance :

Distribution Target Domain Unit Deviance d(y, y)

^

Normal y ∈ (−∞, ∞) ^
(y − y)
2

Bernoulli
y 1−y
y ∈ {0, 1} 2(y log + (1 − y) log )
y
^ 1−^
y

I (y=i)

Categorical y ∈ {0, 1, . . . , k} 2∑
i∈{0,1,...,k}
I (y = i)y i log
^
I (y=i)

y
Poisson y ∈ [0, ∞) 2(y log
y
^
^
− y + y)

Gamma
y
^ y
y ∈ (0, ∞) 2(log + − 1)
y ^
y

Inverse Gaussian
(y−^
y)
y ∈ (0, ∞) 2
yy
^

The Probability Density Functions (PDF) of these distributions are illustrated in the following figure,

PDF of a random variable Y following Poisson, Tweedie (power=1.5) and Gamma distributions with different mean values (μ). Observe the point
mass at Y = 0 for the Poisson distribution and the Tweedie (power=1.5) distribution, but not for the Gamma distribution which has a strictly posi‐
tive target domain.

The Bernoulli distribution is a discrete probability distribution modelling a Bernoulli trial - an event that has only two mutually exclusive outcomes.
The Categorical distribution is a generalization of the Bernoulli distribution for a categorical random variable. While a random variable in a
Bernoulli distribution has two possible outcomes, a Categorical random variable can take on one of K possible categories, with the probability of
each category specified separately.

The choice of the distribution depends on the problem at hand:

If the target values y are counts (non-negative integer valued) or relative frequencies (non-negative), you might use a Poisson distribution with
a log-link.
If the target values are positive valued and skewed, you might try a Gamma distribution with a log-link.
If the target values seem to be heavier tailed than a Gamma distribution, you might try an Inverse Gaussian distribution (or even higher vari‐
ance powers of the Tweedie family).
If the target values y are probabilities, you can use the Bernoulli distribution. The Bernoulli distribution with a logit link can be used for binary
classification. The Categorical distribution with a softmax link can be used for multiclass classification.

Examples of use cases

References:
[10]
McCullagh, Peter; Nelder, John (1989). Generalized Linear Models, Second Edition. Boca Raton: Chapman and Hall/CRC. ISBN 0-412-31760-5.

[11]
Jørgensen, B. (1992). The theory of exponential dispersion models and analysis of deviance. Monografias de matemática, no. 51. See also
Exponential dispersion model.

1.1.12.1. Usage
TweedieRegressor implements a generalized linear model for the Tweedie distribution, that allows to model any of the above mentioned distribu‐
tions using the appropriate power parameter. In particular:
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power = 0 : Normal distribution. Specific estimators such as Ridge, ElasticNet are generally more appropriate in this case.
power = 1 : Poisson distribution. PoissonRegressor is exposed for convenience. However, it is strictly equivalent to
TweedieRegressor(power=1, link='log') .
power = 2 : Gamma distribution. GammaRegressor is exposed for convenience. However, it is strictly equivalent to TweedieRegressor(power=2,
link='log') .
power = 3 : Inverse Gaussian distribution.

The link function is determined by the link parameter.

Usage example:

>>> from sklearn.linear_model import TweedieRegressor

>>> reg = TweedieRegressor(power=1, alpha=0.5, link='log')
>>> reg.fit([[0, 0], [0, 1], [2, 2]], [0, 1, 2])
TweedieRegressor(alpha=0.5, link='log', power=1)
>>> reg.coef_
array([0.2463..., 0.4337...])
>>> reg.intercept_
-0.7638...

Examples
Poisson regression and non-normal loss
Tweedie regression on insurance claims

Practical considerations

1.1.13. Stochastic Gradient Descent - SGD

Stochastic gradient descent is a simple yet very efficient approach to fit linear models. It is particularly useful when the number of samples (and the
number of features) is very large. The partial_fit method allows online/out-of-core learning.

The classes SGDClassifier and SGDRegressor provide functionality to fit linear models for classification and regression using different (convex) loss
functions and different penalties. E.g., with loss="log" , SGDClassifier fits a logistic regression model, while with loss="hinge" it fits a linear sup‐
port vector machine (SVM).

You can refer to the dedicated Stochastic Gradient Descent documentation section for more details.

1.1.14. Perceptron
The Perceptron is another simple classification algorithm suitable for large scale learning. By default:

It does not require a learning rate.

It is not regularized (penalized).
It updates its model only on mistakes.

The last characteristic implies that the Perceptron is slightly faster to train than SGD with the hinge loss and that the resulting models are sparser.

In fact, the Perceptron is a wrapper around the SGDClassifier class using a perceptron loss and a constant learning rate. Refer to mathematical
section of the SGD procedure for more details.

1.1.15. Passive Aggressive Algorithms

The passive-aggressive algorithms are a family of algorithms for large-scale learning. They are similar to the Perceptron in that they do not require
a learning rate. However, contrary to the Perceptron, they include a regularization parameter C .

For classification, PassiveAggressiveClassifier can be used with loss='hinge' (PA-I) or loss='squared_hinge' (PA-II). For regression,
PassiveAggressiveRegressor can be used with loss='epsilon_insensitive' (PA-I) or loss='squared_epsilon_insensitive' (PA-II).

References

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1.1.16. Robustness regression: outliers and modeling errors

Robust regression aims to fit a regression model in the presence of corrupt data: either outliers, or error in the model.

1.1.16.1. Different scenario and useful concepts

There are different things to keep in mind when dealing with data corrupted by outliers:

Outliers in X or in y?

Outliers in the y direction Outliers in the X direction

Fraction of outliers versus amplitude of error

The number of outlying points matters, but also how much they are outliers.

Small outliers Large outliers

An important notion of robust fitting is that of breakdown point: the fraction of data that can be outlying for the fit to start missing the inlying data.

Note that in general, robust fitting in high-dimensional setting (large n_features ) is very hard. The robust models here will probably not work in
these settings.

Trade-offs: which estimator ?

Scikit-learn provides 3 robust regression estimators: RANSAC, Theil Sen and HuberRegressor.

HuberRegressor should be faster than RANSAC and Theil Sen unless the number of samples are very large, i.e. n_samples >> n_features . This
is because RANSAC and Theil Sen fit on smaller subsets of the data. However, both Theil Sen and RANSAC are unlikely to be as robust as
HuberRegressor for the default parameters.
RANSAC is faster than Theil Sen and scales much better with the number of samples.
RANSAC will deal better with large outliers in the y direction (most common situation).
Theil Sen will cope better with medium-size outliers in the X direction, but this property will disappear in high-dimensional settings.

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When inMenu
doubt, use RANSAC.
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1.1.16.2. RANSAC: RANdom SAmple Consensus

RANSAC (RANdom SAmple Consensus) fits a model from random subsets of inliers from the complete data set.

RANSAC is a non-deterministic algorithm producing only a reasonable result with a certain probability, which is dependent on the number of itera‐
tions (see max_trials parameter). It is typically used for linear and non-linear regression problems and is especially popular in the field of pho‐
togrammetric computer vision.

The algorithm splits the complete input sample data into a set of inliers, which may be subject to noise, and outliers, which are e.g. caused by erro‐
neous measurements or invalid hypotheses about the data. The resulting model is then estimated only from the determined inliers.

Examples

Robust linear model estimation using RANSAC

Robust linear estimator fitting

Details of the algorithm

References

1.1.16.3. Theil-Sen estimator: generalized-median-based estimator

The TheilSenRegressor estimator uses a generalization of the median in multiple dimensions. It is thus robust to multivariate outliers. Note how‐
ever that the robustness of the estimator decreases quickly with the dimensionality of the problem. It loses its robustness properties and becomes
no better than an ordinary least squares in high dimension.

Examples:
Theil-Sen Regression
Robust linear estimator fitting

Theoretical considerations

1.1.16.4. Huber Regression

The HuberRegressor is different to Ridge because it applies a linear loss to samples that are classified as outliers. A sample is classified as an inlier if
the absolute error of that sample is lesser than a certain threshold. It differs from TheilSenRegressor and RANSACRegressor because it does not ig‐
nore the effect of the outliers but gives a lesser weight to them.

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HuberRegressor vs Ridge on dataset with strong outliers

Mathematical details

The HuberRegressor differs from using SGDRegressor with loss set to huber in the following ways.

HuberRegressor is scaling invariant. Once epsilon is set, scaling X and y down or up by different values would produce the same robustness
to outliers as before. as compared to SGDRegressor where epsilon has to be set again when X and y are scaled.
HuberRegressor should be more efficient to use on data with small number of samples while SGDRegressor needs a number of passes on the
training data to produce the same robustness.

Note that this estimator is different from the R implementation of Robust Regression (https://stats.oarc.ucla.edu/r/dae/robust-regression/) because
the R implementation does a weighted least squares implementation with weights given to each sample on the basis of how much the residual is
greater than a certain threshold.

1.1.17. Quantile Regression

Quantile regression estimates the median or other quantiles of y conditional on X, while ordinary least squares (OLS) estimates the conditional
mean.

Quantile regression may be useful if one is interested in predicting an interval instead of point prediction. Sometimes, prediction intervals are cal‐
culated based on the assumption that prediction error is distributed normally with zero mean and constant variance. Quantile regression provides
sensible prediction intervals even for errors with non-constant (but predictable) variance or non-normal distribution.

Based on minimizing the pinball loss, conditional quantiles can also be estimated by models other than linear models. For example,
GradientBoostingRegressor can predict conditional quantiles if its parameter loss is set to "quantile" and parameter alpha is set to the quan‐
tile that should be predicted. See the example in Prediction Intervals for Gradient Boosting Regression.

Most implementations of quantile regression are based on linear programming problem. The current implementation is based on
scipy.optimize.linprog.

Examples:

Quantile regression

Mathematical details

References

1.1.18. Polynomial regression: extending linear models with basis functions

One common pattern within machine learning is to use linear models trained on nonlinear functions of the data. This approach maintains the gen‐
erally fast performance of linear methods, while allowing them to fit a much wider range of data.

Mathematical details

Here isMenu
Toggle an example of applying this idea to one-dimensional data, using polynomial features of varying degrees:

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This figure is created using the PolynomialFeatures transformer, which transforms an input data matrix into a new data matrix of a given degree. It
can be used as follows:

>>> from sklearn.preprocessing import PolynomialFeatures

>>> import numpy as np
>>> X = np.arange(6).reshape(3, 2)
>>> X
array([[0, 1],
[2, 3],
[4, 5]])
>>> poly = PolynomialFeatures(degree=2)
>>> poly.fit_transform(X)
array([[ 1., 0., 1., 0., 0., 1.],
[ 1., 2., 3., 4., 6., 9.],
[ 1., 4., 5., 16., 20., 25.]])

The features of X have been transformed from [x 1 , x 2 ] to [1, x 1 , x 2 , x 21 , x 1 x 2 , x 22 ], and can now be used within any linear model.

This sort of preprocessing can be streamlined with the Pipeline tools. A single object representing a simple polynomial regression can be created
and used as follows:

>>> from sklearn.preprocessing import PolynomialFeatures

>>> from sklearn.linear_model import LinearRegression
>>> from sklearn.pipeline import Pipeline
>>> import numpy as np
>>> model = Pipeline([('poly', PolynomialFeatures(degree=3)),
... ('linear', LinearRegression(fit_intercept=False))])
>>> # fit to an order-3 polynomial data
>>> x = np.arange(5)
>>> y = 3 - 2 * x + x ** 2 - x ** 3
>>> model = model.fit(x[:, np.newaxis], y)
>>> model.named_steps['linear'].coef_
array([ 3., -2., 1., -1.])

The linear model trained on polynomial features is able to exactly recover the input polynomial coefficients.

In some cases it’s not necessary to include higher powers of any single feature, but only the so-called interaction features that multiply together at
most d distinct features. These can be gotten from PolynomialFeatures with the setting interaction_only=True .

For example, when dealing with boolean features, x ni = xi for all n and is therefore useless; but x i x j represents the conjunction of two booleans.
This way, we can solve the XOR problem with a linear classifier:

>>> from sklearn.linear_model import Perceptron

>>> from sklearn.preprocessing import PolynomialFeatures
>>> import numpy as np
>>> X = np.array([[0, 0], [0, 1], [1, 0], [1, 1]])
>>> y = X[:, 0] ^ X[:, 1]
>>> y
array([0, 1, 1, 0])
>>> X = PolynomialFeatures(interaction_only=True).fit_transform(X).astype(int)
>>> X
array([[1, 0, 0, 0],
[1, 0, 1, 0],
[1, 1, 0, 0],
[1, 1, 1, 1]])
>>> clf = Perceptron(fit_intercept=False, max_iter=10, tol=None,
... shuffle=False).fit(X, y)

And the classifier “predictions” are perfect:

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>>> clf.predict(X)
array([0, 1, 1, 0])
>>> clf.score(X, y)
1.0

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