def test_ridge():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
for alpha in [1., np.ones(p), 10, 10*np.ones(p)]:
model1 = OLS(yvec, xmat)
result1 = model1._fit_ridge(alpha=1.)
model2 = OLS(yvec, xmat)
result2 = model2.fit_regularized(alpha=1., L1_wt=0)
assert_allclose(result1.params, result2.params)
fv1 = result1.fittedvalues
fv2 = np.dot(xmat, result1.params)
assert_allclose(fv1, fv2)
def test_ridge():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
for alpha in [1., np.ones(p), 10, 10*np.ones(p)]:
model1 = OLS(yvec, xmat)
result1 = model1._fit_ridge(alpha=1.)
model2 = OLS(yvec, xmat)
result2 = model2.fit_regularized(alpha=1., L1_wt=0)
assert_allclose(result1.params, result2.params)
fv1 = result1.fittedvalues
fv2 = np.dot(xmat, result1.params)
assert_allclose(fv1, fv2)
def test_ridge():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
v = np.ones(p)
v[0] = 0
for a in (0, 1, 10):
for alpha in (a, a * np.ones(p), a * v):
model1 = OLS(yvec, xmat)
result1 = model1._fit_ridge(alpha=alpha)
model2 = OLS(yvec, xmat)
result2 = model2.fit_regularized(alpha=alpha, L1_wt=0)
assert_allclose(result1.params, result2.params)
model3 = OLS(yvec, xmat)
result3 = model3.fit_regularized(alpha=alpha, L1_wt=1e-10)
assert_allclose(result1.params, result3.params)
fv1 = result1.fittedvalues
fv2 = np.dot(xmat, result1.params)
assert_allclose(fv1, fv2)
def test_ridge():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
v = np.ones(p)
v[0] = 0
for a in (0, 1, 10):
for alpha in (a, a*np.ones(p), a*v):
model1 = OLS(yvec, xmat)
result1 = model1._fit_ridge(alpha=alpha)
model2 = OLS(yvec, xmat)
result2 = model2.fit_regularized(alpha=alpha, L1_wt=0)
assert_allclose(result1.params, result2.params)
model3 = OLS(yvec, xmat)
result3 = model3.fit_regularized(alpha=alpha, L1_wt=1e-10)
assert_allclose(result1.params, result3.params)
fv1 = result1.fittedvalues
fv2 = np.dot(xmat, result1.params)
assert_allclose(fv1, fv2)