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first attempt to change iterative_imputer #22078

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siavrez
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@siavrez siavrez commented Dec 26, 2021

Reference Issues/PRs

What does this implement/fix? Explain your changes.

Any other comments?

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siavrez commented Dec 26, 2021

with current code on plot variant example 10 iteration, 3 split, 2 max_overfitting_rounds
IterativeImputer BayesianRidge 0.675916
DecisionTreeRegressor 0.739595
ExtraTreesRegressor 0.696068
KNeighborsRegressor 0.834460

original code: 10 iteration
IterativeImputer BayesianRidge 0.695367
DecisionTreeRegressor 0.764438
ExtraTreesRegressor 0.698408
KNeighborsRegressor 0.834774

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siavrez commented Dec 26, 2021

Convergence in iterativeImputer is not very clear and current sklearn implementation compares maximum sum of change of all imputed features for each sample between consecutive iterations so different number of imputations for each sample and scale is not used and compares it with biggest value in dataset * tol. A possible consequence of this method is overfitting.

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cmarmo commented Oct 30, 2022

Linking here the related discussion #22053, and a relevant issue #14338.

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