celer.LassoCV

class celer.LassoCV(eps=0.001, n_alphas=100, alphas=None, fit_intercept=True, max_iter=100, tol=0.0001, cv=None, verbose=0, gap_freq=10, max_epochs=50000, p0=10, prune=0, normalize=False, precompute='auto')

LassoCV scikit-learn estimator based on Celer solver

The best model is selected by cross-validation.

The optimization objective for Lasso is:

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

eps : float, optional

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 : numpy array, optional

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

fit_intercept : boolean, default True

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).

max_iter : int, optional

The maximum number of iterations (subproblem definitions).

tol : float, optional

The tolerance for the optimization: the solver runs until the duality gap is smaller than tol or the maximum number of iteration is reached.

cv : int, cross-validation generator or an iterable, optional

Determines the cross-validation splitting strategy. Possible inputs for cv are: - None, to use the default 3-fold cross-validation, - integer, to specify the number of folds. - An object to be used as a cross-validation generator. - An iterable yielding train/test splits. For integer/None inputs, sklearn KFold is used.

verbose : bool or integer

Amount of verbosity.

See also

celer_path, Lasso

Attributes

alpha_ (float) The amount of penalization chosen by cross validation
coef_ (array, shape (n_features,)) parameter vector (w in the cost function formula)
intercept_ (float) independent term in decision function.
mse_path_ (array, shape (n_alphas, n_folds)) mean square error for the test set on each fold, varying alpha
alphas_ (numpy array, shape (n_alphas,)) The grid of alphas used for fitting
dual_gap_ (ndarray, shape ()) The dual gap at the end of the optimization for the optimal alpha (alpha_).
n_iter_ (int) number of iterations run by the coordinate descent solver to reach the specified tolerance for the optimal alpha.
__init__(eps=0.001, n_alphas=100, alphas=None, fit_intercept=True, max_iter=100, tol=0.0001, cv=None, verbose=0, gap_freq=10, max_epochs=50000, p0=10, prune=0, normalize=False, precompute='auto')

Methods

__init__([eps, n_alphas, alphas, …])
fit(X, y) Fit linear model with coordinate descent
get_params([deep]) Get parameters for this estimator.
path(X, y, alphas, **kwargs) Compute Lasso path with Celer.
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.
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