slickml.regression._glmnet#

Module Contents#

Classes#

GLMNetCVRegressor

GLMNetCVRegressor.
class slickml.regression._glmnet.GLMNetCVRegressor[source]#

Bases: sklearn.base.BaseEstimator, sklearn.base.RegressorMixin

GLMNetCVRegressor.

This is wrapper using GLM-Net [glmnet-api] to train a Regularized Linear Model via ElasticNet regression and find the optimal penalty values through N-Folds cross validation. In principle, GLMNet (also known as ElasticNet) can also be used for feature selection and dimensionality reduction using the LASSO (Least Absolute Shrinkage and Selection Operator) Regression part of the alogrithm while reaching a solid solution using the Ridge Regression part of the algorithm.

Parameters:

  • alpha (float, optional) – The stability parameter with a possible values of 0 <= alpha <= 1 where alpha=0.0 and alpha=1.0 will lead to classic Ridge and LASSO regression models, respectively, by default 0.5

  • n_lambda (int, optional) – Maximum number of penalty values to compute, by default 100

  • n_splits (int, optional) – Number of cross validation folds for computing performance metrics and determining lambda_best_ and lambda_max_. If non-zero, must beat least 3, by default 3

  • metric (str, optional) – Metric used for model selection during cross validation. Valid options are "r2", "mean_squared_error", "mean_absolute_error", and "median_absolute_error". The metric affects the selection of lambda_best_ and lambda_max_. Thus, fitting the same data with different metric methods will result in the selection of different models, by default “r2”

  • scale (bool, optional) – Whether to standardize the input features to have a mean value of 0.0 and standard deviation of 1 prior to fitting. The final coefficients will be on the scale of the original data regardless of this step. Therefore, there is no need to pre-process the data when using scale=True, by default True

  • sparse_matrix (bool, optional) – Whether to convert the input features to sparse matrix with csr format or not. This would increase the speed of feature selection for relatively large sparse datasets. Additionally, this parameter cannot be used along with scale=True where standardizing the feature matrix to have a mean value of zero would turn the feature matrix into a dense matrix, by default False

  • fit_intercept (bool, optional) – Include an intercept term in the model, by default True

  • cut_point (float, optional) – The cut point to use for selecting lambda_best_. Based on this value, the distance between lambda_max_ and lambda_best_ would be cut_point * standard_error(lambda_best_) ``arg_max(lambda) for cv_score(lambda) >= cv_score(lambda_max_) - cut_point * standard_error(lambda_max_), by default 1.0

  • min_lambda_ratio (float, optional) – In combination with n_lambda, the ratio of the smallest and largest values of lambda computed (min_lambda/max_lambda >= min_lambda_ratio), by default 1e-4

  • tolerance (float, optional) – Convergence criteria tolerance, by default 1e-7

  • max_iter (int, optional) – Maximum passes over the data, by default 100000

  • random_state (int, optional) – Seed for the random number generator. The glmnet solver is not deterministic, this seed is used for determining the cv folds.

  • lambda_path (Union[List[float], np.ndarray, pd.Series], optional) – In place of supplying n_lambda, provide an array of specific values to compute. The specified values must be in decreasing order. When None, the path of lambda values will be determined automatically. A maximum of n_lambda values will be computed, by default None

  • max_features (int, optional) – Optional maximum number of features with nonzero coefficients after regularization. If not set, defaults to the number features (X_train.shape[1]) during fit. Note, this will be ignored if the user specifies lambda_path, by default None

fit(X_train, y_train)[source]#

Fits a glmnet.ElasticNet to input training data. Proper X_train matrix based on chosen options i.e. sparse_matrix, and scale is being created based on the passed X_train and y_train

predict(X_test, y_test)[source]#

Returns the prediction target (response) values

plot_coeff_path():

Visualizes the coefficients’ paths

plot_cv_results()[source]#

Visualizes the cross-validation results

plot_shap_summary()[source]#

Visualizes Shapley values summary plot

plot_shap_waterfall()[source]#

Visualizes Shapley values waterfall plot

get_shap_explainer()[source]#

Returns the fitted shap.LinearExplainer object

get_params():

Returns parameters

get_intercept():

Returns model’s intercept

get_coeffs():

Returns non-zero coefficients

get_cv_results():

Returns cross-validation results

get_results():

Returns model’s total results

X_train#

Returns training data set

Type:

pd.DataFrame

X_test#

Returns transformed testing data set

Type:

pd.DataFrame

y_train#

Returns the list of training ground truth for training (targets)

Type:

np.ndarray

y_test#

Returns the list of testing ground truth for training (targets)

Type:

np.ndarray

coeff_#

Return the model’s non-zero coefficients

Type:

pd.DataFrame

intercept_#

Return the model’s intercept

Type:

float

cv_results_#

Returns the cross-validation results

Type:

pd.DataFrame

results_#

Returns the model’s total results

Type:

Dict[str, Any]

params_#

Returns model’s fitting parameters

Type:

Dict[str, Any]

shap_values_train_#

Shapley values from LinearExplainer using X_train

Type:

np.ndarray

shap_values_test_#

Shapley values from LinearExplainer using X_test

Type:

np.ndarray

shap_explainer_#

Shap LinearExplainer with independent masker using X_Test

Type:

shap.LinearExplainer

model_#

Returns fitted glmnet.ElasticNet model

Type:

glmnet.ElasticNet

References

alpha :Optional[float] = 0.5#
cut_point :Optional[float] = 1.0#
fit_intercept :Optional[bool] = True#
lambda_path :Optional[Union[List[float], numpy.ndarray, pandas.Series]]#
max_features :Optional[int]#
max_iter :Optional[int] = 100000#
metric :Optional[str] = r2#
min_lambda_ratio :Optional[float] = 0.0001#
n_lambda :Optional[int] = 100#
n_splits :Optional[int] = 3#
random_state :Optional[int] = 1367#
scale :Optional[bool] = True#
sparse_matrix :Optional[bool] = False#
tolerance :Optional[float] = 1e-07#
__getstate__()#
__post_init__() → None[source]#

Post instantiation validations and assignments.

__repr__(N_CHAR_MAX=700)#

Return repr(self).

__setstate__(state)#
fit(X_train: Union[pandas.DataFrame, numpy.ndarray], y_train: Union[List[float], numpy.ndarray, pandas.Series]) → None[source]#

Fits a glmnet.ElasticNet to input training data.

Notes

For the cases that sparse_matrix=True, a CSR format of the input will be used via df_to_csr() function.

Parameters:

  • X_train (Union[pd.DataFrame, np.ndarray]) – Input data for training (features)

  • y_train (Union[List[float], np.ndarray, pd.Series]) – Input ground truth for training (targets)

Returns:

None

get_coeffs(output: Optional[str] = 'dataframe') → Union[Dict[str, float], pandas.DataFrame][source]#

Returns model’s coefficients in different format.

Parameters:

output (str, optional) – Output format with possible values of “dataframe” and “dict”, by default “dataframe”

Returns:

Union[Dict[str, float], pd.DataFrame]

get_cv_results() → pandas.DataFrame[source]#

Returns model’s cross-validation results.

See also

get_results()

Returns:

pd.DataFrame

get_intercept() → float[source]#

Returns the model’s intercept.

Returns:

float

get_params() → Dict[str, Any][source]#

Returns model’s parameters.

Returns:

Dict[str, Any]

get_results() → Dict[str, Any][source]#

Returns model’s total results.

See also

get_cv_results()

Returns:

Dict[str, Any]

get_shap_explainer() → shap.LinearExplainer[source]#

Returns shap.LinearExplainer object.

Returns:

shap.LinearExplainer

plot_coeff_path(figsize: Optional[Tuple[Union[int, float], Union[int, float]]] = (8, 5), linestyle: Optional[str] = '-', fontsize: Optional[Union[int, float]] = 12, grid: Optional[bool] = True, legend: Optional[bool] = True, legendloc: Optional[Union[int, str]] = 'center', xlabel: Optional[str] = None, ylabel: Optional[str] = 'Coefficients', title: Optional[str] = None, bbox_to_anchor: Tuple[float, float] = (1.1, 0.5), yscale: Optional[str] = 'linear', save_path: Optional[str] = None, display_plot: Optional[bool] = True, return_fig: Optional[bool] = False) → Optional[matplotlib.figure.Figure][source]#

Visualizes the GLMNet coefficients’ paths.

Parameters:

  • figsize (tuple, optional) – Figure size, by default (8, 5)

  • linestyle (str, optional) – Linestyle of paths, by default “-”

  • fontsize (Union[int, float], optional) – Fontsize of the title. The fontsizes of xlabel, ylabel, tick_params, and legend are resized with 0.85, 0.85, 0.75, and 0.85 fraction of title fontsize, respectively, by default 12

  • grid (bool, optional) – Whether to show (x,y) grid on the plot or not, by default True

  • legend (bool, optional) – Whether to show legend on the plot or not, by default True

  • legendloc (Union[int, str], optional) – Location of legend, by default “center”

  • xlabel (str, optional) – Xlabel of the plot, by default “-Log(Lambda)”

  • ylabel (str, optional) – Ylabel of the plot, by default “Coefficients”

  • title (str, optional) – Title of the plot, by default “Best {lambda_best} with {n} Features”

  • yscale (str, optiona) – Scale for y-axis (coefficients). Possible options are "linear", "log", "symlog", "logit" [yscale], by default “linear”

  • bbox_to_anchor (Tuple[float, float], optional) – Relative coordinates for legend location outside of the plot, by default (1.1, 0.5)

  • save_path (str, optional) – The full or relative path to save the plot including the image format such as “myplot.png” or “../../myplot.pdf”, by default None

  • display_plot (bool, optional) – Whether to show the plot, by default True

  • return_fig (bool, optional) – Whether to return figure object, by default False

  • **kwargs (Dict[str, Any]) – Key-value pairs of results. results_ attribute can be used

Returns:

Figure, optional

plot_cv_results(figsize: Optional[Tuple[Union[int, float], Union[int, float]]] = (8, 5), marker: Optional[str] = 'o', markersize: Optional[Union[int, float]] = 5, color: Optional[str] = 'red', errorbarcolor: Optional[str] = 'black', maxlambdacolor: Optional[str] = 'purple', bestlambdacolor: Optional[str] = 'navy', linestyle: Optional[str] = '--', fontsize: Optional[Union[int, float]] = 12, grid: Optional[bool] = True, legend: Optional[bool] = True, legendloc: Optional[Union[int, str]] = 'best', xlabel: Optional[str] = None, ylabel: Optional[str] = None, title: Optional[str] = None, save_path: Optional[str] = None, display_plot: Optional[bool] = True, return_fig: Optional[bool] = False) → Optional[matplotlib.figure.Figure][source]#

Visualizes the GLMNet cross-validation results.

Notes

This plotting function can be used along with results_ attribute of any of GLMNetCVClassifier, or GLMNetCVRegressor classes as kwargs.

Parameters:

  • figsize (tuple, optional) – Figure size, by default (8, 5)

  • marker (str, optional) – Marker style of the metric to distinguish the error bars. More valid marker styles can be found at [markers-api], by default “o”

  • markersize (Union[int, float], optional) – Markersize, by default 5

  • color (str, optional) – Line and marker color, by default “red”

  • errorbarcolor (str, optional) – Error bar color, by default “black”

  • maxlambdacolor (str, optional) – Color of vertical line for lambda_max_, by default “purple”

  • bestlambdacolor (str, optional) – Color of vertical line for lambda_best_, by default “navy”

  • linestyle (str, optional) – Linestyle of vertical lambda lines, by default “–”

  • fontsize (Union[int, float], optional) – Fontsize of the title. The fontsizes of xlabel, ylabel, tick_params, and legend are resized with 0.85, 0.85, 0.75, and 0.85 fraction of title fontsize, respectively, by default 12

  • grid (bool, optional) – Whether to show (x,y) grid on the plot or not, by default True

  • legend (bool, optional) – Whether to show legend on the plot or not, by default True

  • legendloc (Union[int, str], optional) – Location of legend, by default “best”

  • xlabel (str, optional) – Xlabel of the plot, by default “-Log(Lambda)”

  • ylabel (str, optional) – Ylabel of the plot, by default “{n_splits}-Folds CV Mean {metric}”

  • title (str, optional) – Title of the plot, by default “Best {lambda_best} with {n} Features”

  • save_path (str, optional) – The full or relative path to save the plot including the image format such as “myplot.png” or “../../myplot.pdf”, by default None

  • display_plot (bool, optional) – Whether to show the plot, by default True

  • return_fig (bool, optional) – Whether to return figure object, by default False

  • **kwargs (Dict[str, Any]) – Key-value pairs of results. results_ attribute can be used

See also

slickml.classification.GLMNetCVClassifier, slickml.regression.GLMNetCVRegressor

Returns:

Figure, optional

plot_shap_summary(validation: Optional[bool] = True, plot_type: Optional[str] = 'dot', figsize: Optional[Union[str, Tuple[float, float]]] = 'auto', color: Optional[str] = None, cmap: Optional[matplotlib.colors.LinearSegmentedColormap] = None, max_display: Optional[int] = 20, feature_names: Optional[List[str]] = None, layered_violin_max_num_bins: Optional[int] = 10, title: Optional[str] = None, sort: Optional[bool] = True, color_bar: Optional[bool] = True, class_names: Optional[List[str]] = None, class_inds: Optional[List[int]] = None, color_bar_label: Optional[str] = 'Feature Value', save_path: Optional[str] = None, display_plot: Optional[bool] = True) → None[source]#

Visualizes shap beeswarm plot as summary of shapley values.

Notes

This is a helper function to plot the shap summary plot based on all types of shap.Explainer including shap.LinearExplainer for linear models, shap.TreeExplainer for tree-based models, and shap.DeepExplainer deep neural network models. More on details are available at [shap-api]. Note that this function should be ran after the predict_proba() to make sure the X_test is being instansiated or set validation=False.

Parameters:

  • validation (bool, optional) – Whether to calculate Shap values of using the validation data X_test or not. When validation=False, Shap values are calculated using X_train, be default True

  • plot_type (str, optional) – The type of summary plot where possible options are “bar”, “dot”, “violin”, “layered_violin”, and “compact_dot”. Recommendations are “dot” for single-output such as binary classifications, “bar” for multi-output problems, “compact_dot” for Shap interactions, by default “dot”

  • figsize (tuple, optional) – Figure size where “auto” is auto-scaled figure size based on the number of features that are being displayed. Passing a single float will cause each row to be that many inches high. Passing a pair of floats will scale the plot by that number of inches. If None is passed then the size of the current figure will be left unchanged, by default “auto”

  • color (str, optional) – Color of plots when plot_type="violin" and plot_type=layered_violin" are “RdBl” color-map while color of the horizontal lines when plot_type="bar" is “#D0AAF3”, by default None

  • cmap (LinearSegmentedColormap, optional) – Color map when plot_type="violin" and plot_type=layered_violin", by default “RdBl”

  • max_display (int, optional) – Limit to show the number of features in the plot, by default 20

  • feature_names (List[str], optional) – List of feature names to pass. It should follow the order of features, by default None

  • layered_violin_max_num_bins (int, optional) – The number of bins for calculating the violin plots ranges and outliers, by default 10

  • title (str, optional) – Title of the plot, by default None

  • sort (bool, optional) – Flag to plot sorted shap vlues in descending order, by default True

  • color_bar (bool, optional) – Flag to show a color bar when plot_type="dot" or plot_type="violin"

  • class_names (List[str], optional) – List of class names for multi-output problems, by default None

  • class_inds (List[int], optional) – List of class indices for multi-output problems, by default None

  • color_bar_label (str, optional) – Label for color bar, by default “Feature Value”

  • save_path (str, optional) – The full or relative path to save the plot including the image format such as “myplot.png” or “../../myplot.pdf”, by default None

  • display_plot (bool, optional) – Whether to show the plot, by default True

Returns:

None

plot_shap_waterfall(validation: Optional[bool] = True, figsize: Optional[Tuple[float, float]] = (8, 5), bar_color: Optional[str] = '#B3C3F3', bar_thickness: Optional[Union[float, int]] = 0.5, line_color: Optional[str] = 'purple', marker: Optional[str] = 'o', markersize: Optional[Union[int, float]] = 7, markeredgecolor: Optional[str] = 'purple', markerfacecolor: Optional[str] = 'purple', markeredgewidth: Optional[Union[int, float]] = 1, max_display: Optional[int] = 20, title: Optional[str] = None, fontsize: Optional[Union[int, float]] = 12, save_path: Optional[str] = None, display_plot: Optional[bool] = True, return_fig: Optional[bool] = False) → Optional[matplotlib.figure.Figure][source]#

Visualizes the Shapley values as a waterfall plot.

Notes

Waterfall is defined as the cumulitative/composite ratios of shap values per feature. Therefore, it can be easily seen with each feature how much explainability we can achieve. Note that this function should be ran after the predict_proba() to make sure the X_test is being instansiated or set validation=False.

Parameters:

  • validation (bool, optional) – Whether to calculate Shap values of using the validation data X_test or not. When validation=False, Shap values are calculated using X_train, be default True

  • figsize (Tuple[float, float], optional) – Figure size, by default (8, 5)

  • bar_color (str, optional) – Color of the horizontal bar lines, “#B3C3F3”

  • bar_thickness (Union[float, int], optional) – Thickness (hight) of the horizontal bar lines, by default 0.5

  • line_color (str, optional) – Color of the line plot, by default “purple”

  • marker (str, optional) – Marker style of the lollipops. More valid marker styles can be found at [2]_, by default “o”

  • markersize (Union[int, float], optional) – Markersize, by default 7

  • markeredgecolor (str, optional) – Marker edge color, by default “purple”

  • markerfacecolor (str, optional) – Marker face color, by default “purple”

  • markeredgewidth (Union[int, float], optional) – Marker edge width, by default 1

  • max_display (int, optional) – Limit to show the number of features in the plot, by default 20

  • title (str, optional) – Title of the plot, by default None

  • fontsize (Union[int, float], optional) – Fontsize for xlabel and ylabel, and ticks parameters, by default 12

  • save_path (str, optional) – The full or relative path to save the plot including the image format such as “myplot.png” or “../../myplot.pdf”, by default None

  • display_plot (bool, optional) – Whether to show the plot, by default True

  • return_fig (bool, optional) – Whether to return figure object, by default False

Returns:

Figure, optional

predict(X_test: Union[pandas.DataFrame, numpy.ndarray], y_test: Optional[Union[List[float], numpy.ndarray, pandas.Series]] = None, lamb: Optional[numpy.ndarray] = None) → numpy.ndarray[source]#

Returns the prediction response values (targets).

Parameters:

  • X_test (Union[pd.DataFrame, np.ndarray]) – Input data for testing (features)

  • y_test (Union[List[float], np.ndarray, pd.Series], optional) – Input ground truth for testing (targets)

  • lamb (np.ndarray, optional) – Values with shape (n_lambda,) of lambda from lambda_path_ from which to make predictions. If no values are provided (None), the returned predictions will be those corresponding to lambda_best_. The values of lamb must also be in the range of lambda_path_, values greater than max(lambda_path_) or less than min(lambda_path_) will be clipped

Returns:

np.ndarray

score(X, y, sample_weight=None)#

Return the coefficient of determination of the prediction.

The coefficient of determination \(R^2\) is defined as \((1 - \frac{u}{v})\), where \(u\) is the residual sum of squares ((y_true - y_pred)** 2).sum() and \(v\) is the total sum of squares ((y_true - y_true.mean()) ** 2).sum(). The best possible score is 1.0 and it can be negative (because the model can be arbitrarily worse). A constant model that always predicts the expected value of y, disregarding the input features, would get a \(R^2\) score of 0.0.

Parameters:

  • X (array-like of shape (n_samples, n_features)) – Test samples. For some estimators this may be a precomputed kernel matrix or a list of generic objects instead with shape (n_samples, n_samples_fitted), where n_samples_fitted is the number of samples used in the fitting for the estimator.

  • y (array-like of shape (n_samples,) or (n_samples, n_outputs)) – True values for X.

  • sample_weight (array-like of shape (n_samples,), default=None) – Sample weights.

Returns:

score (float) – \(R^2\) of self.predict(X) wrt. y.

Notes

The \(R^2\) score used when calling score on a regressor uses multioutput='uniform_average' from version 0.23 to keep consistent with default value of r2_score(). This influences the score method of all the multioutput regressors (except for MultiOutputRegressor).

set_params(**params)#

Set the parameters of this estimator.

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

Parameters:

**params (dict) – Estimator parameters.

Returns:

self (estimator instance) – Estimator instance.