3.2.3.2.1. sklearn.linear_model.LassoLarsIC

class sklearn.linear_model.LassoLarsIC(criterion='aic', fit_intercept=True, verbose=False, normalize=True, precompute='auto', max_iter=500, eps=2.2204460492503131e-16, copy_X=True)

Lasso model fit with Lars using BIC or AIC for model selection

The optimization objective for Lasso is:

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

AIC is the Akaike information criterion and BIC is the Bayes Information criterion. Such criteria are useful to select the value of the regularization parameter by making a trade-off between the goodness of fit and the complexity of the model. A good model should explain well the data while being simple.

Parameters:

criterion: ‘bic’ | ‘aic’ :

The type of criterion to use.

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).

verbose : boolean or integer, optional

Sets the verbosity amount

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.

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.

max_iter: integer, optional :

Maximum number of iterations to perform. Can be used for early stopping.

eps: float, optional :

The machine-precision regularization in the computation of the Cholesky diagonal factors. Increase this for very ill-conditioned systems. Unlike the tol parameter in some iterative optimization-based algorithms, this parameter does not control the tolerance of the optimization.

Attributes:

``coef_`` : array, shape (n_features,)

parameter vector (w in the formulation formula)

``intercept_`` : float

independent term in decision function.

``alpha_`` : float

the alpha parameter chosen by the information criterion

See also

lars_path, LassoLars, LassoLarsCV

Notes

The estimation of the number of degrees of freedom is given by:

“On the degrees of freedom of the lasso” Hui Zou, Trevor Hastie, and Robert Tibshirani Ann. Statist. Volume 35, Number 5 (2007), 2173-2192.

http://en.wikipedia.org/wiki/Akaike_information_criterion http://en.wikipedia.org/wiki/Bayesian_information_criterion

Examples

>>> from sklearn import linear_model
>>> clf = linear_model.LassoLarsIC(criterion='bic')
>>> clf.fit([[-1, 1], [0, 0], [1, 1]], [-1.1111, 0, -1.1111])
... 
LassoLarsIC(copy_X=True, criterion='bic', eps=..., fit_intercept=True,
      max_iter=500, normalize=True, precompute='auto',
      verbose=False)
>>> print(clf.coef_) 
[ 0.  -1.11...]

Methods

decision_function(X)	Decision function of the linear model.
fit(X, y[, copy_X])	Fit the model using X, y as training data.
get_params([deep])	Get parameters for this estimator.
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__(criterion='aic', fit_intercept=True, verbose=False, normalize=True, precompute='auto', max_iter=500, eps=2.2204460492503131e-16, copy_X=True)

decision_function(X)

Decision function of the linear model.

Parameters:

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

Samples.

Returns:

C : array, shape = (n_samples,)

Returns predicted values.

fit(X, y, copy_X=True)

Fit the model using X, y as training data.

Parameters:

x : array-like, shape (n_samples, n_features)

training data.

y : array-like, shape (n_samples,)

target values.

Returns:

self : object

returns an instance of self.

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.

predict(X)

Predict using the linear model

Parameters:

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

Samples.

Returns:

C : array, shape = (n_samples,)

Returns predicted values.

score(X, y, sample_weight=None)

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

The coefficient R^2 is defined as (1 - u/v), where u is the regression sum of squares ((y_true - y_pred) ** 2).sum() and v is the residual sum of squares ((y_true - y_true.mean()) ** 2).sum(). Best possible score is 1.0, lower values are worse.

Parameters:

X : array-like, shape = (n_samples, n_features)

Test samples.

y : array-like, shape = (n_samples,)

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)

Set the parameters of this estimator.

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

Returns:self :