tests sample_weights linearreg, ridge

giorgiop · giorgiop · commit 1d16ec4718f5 · 2015-11-10T22:08:26.000+01:00
diff --git a/sklearn/linear_model/tests/test_base.py b/sklearn/linear_model/tests/test_base.py
@@ -5,12 +5,16 @@
 
 import numpy as np
 from scipy import sparse
+from scipy import linalg
 
 from sklearn.utils.testing import assert_array_almost_equal
+from sklearn.utils.testing import assert_almost_equal
 from sklearn.utils.testing import assert_equal
 
 from sklearn.linear_model.base import LinearRegression
-from sklearn.linear_model.base import center_data, sparse_center_data, _rescale_data
+from sklearn.linear_model.base import center_data
+from sklearn.linear_model.base import sparse_center_data
+from sklearn.linear_model.base import _rescale_data
 from sklearn.utils import check_random_state
 from sklearn.utils.testing import assert_greater
 from sklearn.datasets.samples_generator import make_sparse_uncorrelated
@@ -23,48 +27,64 @@ def test_linear_regression():
     X = [[1], [2]]
     Y = [1, 2]
 
-    clf = LinearRegression()
-    clf.fit(X, Y)
+    reg = LinearRegression()
+    reg.fit(X, Y)
 
-    assert_array_almost_equal(clf.coef_, [1])
-    assert_array_almost_equal(clf.intercept_, [0])
-    assert_array_almost_equal(clf.predict(X), [1, 2])
+    assert_array_almost_equal(reg.coef_, [1])
+    assert_array_almost_equal(reg.intercept_, [0])
+    assert_array_almost_equal(reg.predict(X), [1, 2])
 
     # test it also for degenerate input
     X = [[1]]
     Y = [0]
 
-    clf = LinearRegression()
-    clf.fit(X, Y)
-    assert_array_almost_equal(clf.coef_, [0])
-    assert_array_almost_equal(clf.intercept_, [0])
-    assert_array_almost_equal(clf.predict(X), [0])
+    reg = LinearRegression()
+    reg.fit(X, Y)
+    assert_array_almost_equal(reg.coef_, [0])
+    assert_array_almost_equal(reg.intercept_, [0])
+    assert_array_almost_equal(reg.predict(X), [0])
 
 
 def test_linear_regression_sample_weights():
+    # TODO: loop over sparse data as well
+
     rng = np.random.RandomState(0)
 
-    for n_samples, n_features in ((6, 5), (5, 10)):
+    # It would not work with under-determined systems
+    for n_samples, n_features in ((6, 5), ):
+
         y = rng.randn(n_samples)
         X = rng.randn(n_samples, n_features)
         sample_weight = 1.0 + rng.rand(n_samples)
 
-        clf = LinearRegression()
-        clf.fit(X, y, sample_weight)
-        coefs1 = clf.coef_
+        for intercept in (True, False):
+
+            # LinearRegression with explicit sample_weight
+            reg = LinearRegression(fit_intercept=intercept)
+            reg.fit(X, y, sample_weight=sample_weight)
+            coefs1 = reg.coef_
+            inter1 = reg.intercept_
+
+            assert_equal(reg.coef_.shape, (X.shape[1], ))  # sanity checks
+            assert_greater(reg.score(X, y), 0.5)
 
-        assert_equal(clf.coef_.shape, (X.shape[1], ))
-        assert_greater(clf.score(X, y), 0.9)
-        assert_array_almost_equal(clf.predict(X), y)
+            # Closed form of the weighted least square
+            # theta = (X^T W X)^(-1) * X^T W y
+            W = np.diag(sample_weight)
+            if intercept is False:
+                X_aug = X
+            else:
+                dummy_column = np.ones(shape=(n_samples, 1))
+                X_aug = np.concatenate((dummy_column, X), axis=1)
 
-        # Sample weight can be implemented via a simple rescaling
-        # for the square loss.
-        scaled_y = y * np.sqrt(sample_weight)
-        scaled_X = X * np.sqrt(sample_weight)[:, np.newaxis]
-        clf.fit(X, y)
-        coefs2 = clf.coef_
+            coefs2 = linalg.solve(X_aug.T.dot(W).dot(X_aug),
+                                  X_aug.T.dot(W).dot(y))
 
-        assert_array_almost_equal(coefs1, coefs2)
+            if intercept is False:
+                assert_array_almost_equal(coefs1, coefs2)
+            else:
+                assert_array_almost_equal(coefs1, coefs2[1:])
+                assert_almost_equal(inter1, coefs2[0])
 
 
 def test_raises_value_error_if_sample_weights_greater_than_1d():
@@ -82,12 +102,12 @@ def test_raises_value_error_if_sample_weights_greater_than_1d():
         sample_weights_OK_1 = 1.
         sample_weights_OK_2 = 2.
 
-        clf = LinearRegression()
+        reg = LinearRegression()
 
         # make sure the "OK" sample weights actually work
-        clf.fit(X, y, sample_weights_OK)
-        clf.fit(X, y, sample_weights_OK_1)
-        clf.fit(X, y, sample_weights_OK_2)
+        reg.fit(X, y, sample_weights_OK)
+        reg.fit(X, y, sample_weights_OK_1)
+        reg.fit(X, y, sample_weights_OK_2)
 
 
 def test_fit_intercept():
@@ -135,12 +155,12 @@ def test_linear_regression_multiple_outcome(random_state=0):
     Y = np.vstack((y, y)).T
     n_features = X.shape[1]
 
-    clf = LinearRegression(fit_intercept=True)
-    clf.fit((X), Y)
-    assert_equal(clf.coef_.shape, (2, n_features))
-    Y_pred = clf.predict(X)
-    clf.fit(X, y)
-    y_pred = clf.predict(X)
+    reg = LinearRegression(fit_intercept=True)
+    reg.fit((X), Y)
+    assert_equal(reg.coef_.shape, (2, n_features))
+    Y_pred = reg.predict(X)
+    reg.fit(X, y)
+    y_pred = reg.predict(X)
     assert_array_almost_equal(np.vstack((y_pred, y_pred)).T, Y_pred, decimal=3)
 
 
diff --git a/sklearn/linear_model/tests/test_ridge.py b/sklearn/linear_model/tests/test_ridge.py
@@ -1,6 +1,7 @@
 import numpy as np
 import scipy.sparse as sp
 from scipy import linalg
+from itertools import product
 
 from sklearn.utils.testing import assert_true
 from sklearn.utils.testing import assert_almost_equal
@@ -112,20 +113,21 @@ def test_ridge_singular():
     assert_greater(ridge.score(X, y), 0.9)
 
 
-def test_ridge_sample_weights():
+def test_ridge_regression_sample_weights():
     rng = np.random.RandomState(0)
 
     for solver in ("cholesky", ):
         for n_samples, n_features in ((6, 5), (5, 10)):
             for alpha in (1.0, 1e-2):
                 y = rng.randn(n_samples)
                 X = rng.randn(n_samples, n_features)
-                sample_weight = 1 + rng.rand(n_samples)
+                sample_weight = 1.0 + rng.rand(n_samples)
 
                 coefs = ridge_regression(X, y,
                                          alpha=alpha,
                                          sample_weight=sample_weight,
                                          solver=solver)
+
                 # Sample weight can be implemented via a simple rescaling
                 # for the square loss.
                 coefs2 = ridge_regression(
@@ -134,32 +136,48 @@ def test_ridge_sample_weights():
                     alpha=alpha, solver=solver)
                 assert_array_almost_equal(coefs, coefs2)
 
-                # Test for fit_intercept = True
-                est = Ridge(alpha=alpha, solver=solver)
-                est.fit(X, y, sample_weight=sample_weight)
-
-                # Check using Newton's Method
-                # Quadratic function should be solved in a single step.
-                # Initialize
-                sample_weight = np.sqrt(sample_weight)
-                X_weighted = sample_weight[:, np.newaxis] * (
-                    np.column_stack((np.ones(n_samples), X)))
-                y_weighted = y * sample_weight
-
-                # Gradient is (X*coef-y)*X + alpha*coef_[1:]
-                # Remove coef since it is initialized to zero.
-                grad = -np.dot(y_weighted, X_weighted)
-
-                # Hessian is (X.T*X) + alpha*I except that the first
-                # diagonal element should be zero, since there is no
-                # penalization of intercept.
-                diag = alpha * np.ones(n_features + 1)
-                diag[0] = 0.
-                hess = np.dot(X_weighted.T, X_weighted)
-                hess.flat[::n_features + 2] += diag
-                coef_ = - np.dot(linalg.inv(hess), grad)
-                assert_almost_equal(coef_[0], est.intercept_)
-                assert_array_almost_equal(coef_[1:], est.coef_)
+
+def test_ridge_sample_weights():
+    # TODO: loop over sparse data as well
+
+    rng = np.random.RandomState(0)
+    param_grid = product((1.0, 1e-2), (True, False),
+                         ('svd', 'cholesky', 'lsqr', 'sparse_cg'))
+
+    for n_samples, n_features in ((6, 5), (5, 10)):
+
+        y = rng.randn(n_samples)
+        X = rng.randn(n_samples, n_features)
+        sample_weight = 1.0 + rng.rand(n_samples)
+
+        for (alpha, intercept, solver) in param_grid:
+
+            # Ridge with explicit sample_weight
+            est = Ridge(alpha=alpha, fit_intercept=intercept, solver=solver)
+            est.fit(X, y, sample_weight=sample_weight)
+            coefs = est.coef_
+            inter = est.intercept_
+
+            # Closed form of the weighted regularized least square
+            # theta = (X^T W X + alpha I)^(-1) * X^T W y
+            W = np.diag(sample_weight)
+            if intercept is False:
+                X_aug = X
+                I = np.eye(n_features)
+            else:
+                dummy_column = np.ones(shape=(n_samples, 1))
+                X_aug = np.concatenate((dummy_column, X), axis=1)
+                I = np.eye(n_features + 1)
+                I[0, 0] = 0
+
+            cf_coefs = linalg.solve(X_aug.T.dot(W).dot(X_aug) + alpha * I,
+                                    X_aug.T.dot(W).dot(y))
+
+            if intercept is False:
+                assert_array_almost_equal(coefs, cf_coefs)
+            else:
+                assert_array_almost_equal(coefs, cf_coefs[1:])
+                assert_almost_equal(inter, cf_coefs[0])
 
 
 def test_ridge_shapes():
@@ -570,7 +588,7 @@ def test_ridgecv_sample_weight():
     for n_samples, n_features in ((6, 5), (5, 10)):
         y = rng.randn(n_samples)
         X = rng.randn(n_samples, n_features)
-        sample_weight = 1 + rng.rand(n_samples)
+        sample_weight = 1.0 + rng.rand(n_samples)
 
         cv = KFold(5)
         ridgecv = RidgeCV(alphas=alphas, cv=cv)
