lars_path_gram (original) (raw)

sklearn.linear_model.lars_path_gram(Xy, Gram, *, n_samples, max_iter=500, alpha_min=0, method='lar', copy_X=True, eps=np.float64(2.220446049250313e-16), copy_Gram=True, verbose=0, return_path=True, return_n_iter=False, positive=False)[source]#

The lars_path in the sufficient stats mode.

The optimization objective for the case method=’lasso’ is:

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

in the case of method=’lar’, the objective function is only known in the form of an implicit equation (see discussion in [1]).

Read more in the User Guide.

Parameters:

Xyndarray of shape (n_features,)

Xy = X.T @ y.

Gramndarray of shape (n_features, n_features)

Gram = X.T @ X.

n_samplesint

Equivalent size of sample.

max_iterint, default=500

Maximum number of iterations to perform, set to infinity for no limit.

alpha_minfloat, default=0

Minimum correlation along the path. It corresponds to the regularization parameter alpha parameter in the Lasso.

method{‘lar’, ‘lasso’}, default=’lar’

Specifies the returned model. Select 'lar' for Least Angle Regression, 'lasso' for the Lasso.

copy_Xbool, default=True

If False, X is overwritten.

epsfloat, default=np.finfo(float).eps

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.

copy_Grambool, default=True

If False, Gram is overwritten.

verboseint, default=0

Controls output verbosity.

return_pathbool, default=True

If return_path==True returns the entire path, else returns only the last point of the path.

return_n_iterbool, default=False

Whether to return the number of iterations.

positivebool, default=False

Restrict coefficients to be >= 0. This option is only allowed with method ‘lasso’. Note that the model coefficients will not converge to the ordinary-least-squares solution for small values of alpha. Only coefficients up to the smallest alpha value (alphas_[alphas_ > 0.].min() when fit_path=True) reached by the stepwise Lars-Lasso algorithm are typically in congruence with the solution of the coordinate descent lasso_path function.

Returns:

alphasndarray of shape (n_alphas + 1,)

Maximum of covariances (in absolute value) at each iteration.n_alphas is either max_iter, n_features or the number of nodes in the path with alpha >= alpha_min, whichever is smaller.

activendarray of shape (n_alphas,)

Indices of active variables at the end of the path.

coefsndarray of shape (n_features, n_alphas + 1)

Coefficients along the path.

n_iterint

Number of iterations run. Returned only if return_n_iter is set to True.

References

Examples

from sklearn.linear_model import lars_path_gram from sklearn.datasets import make_regression X, y, true_coef = make_regression( ... n_samples=100, n_features=5, n_informative=2, coef=True, random_state=0 ... ) true_coef array([ 0. , 0. , 0. , 97.9, 45.7]) alphas, _, estimated_coef = lars_path_gram(X.T @ y, X.T @ X, n_samples=100) alphas.shape (3,) estimated_coef array([[ 0. , 0. , 0. ], [ 0. , 0. , 0. ], [ 0. , 0. , 0. ], [ 0. , 46.96, 97.99], [ 0. , 0. , 45.70]])