def test_regularized_options():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
model1 = OLS(yvec - 1, xmat)
result1 = model1.fit_regularized(alpha=1., L1_wt=0.5)
model2 = OLS(yvec, xmat, offset=1)
result2 = model2.fit_regularized(alpha=1., L1_wt=0.5,
start_params=np.zeros(5))
assert_allclose(result1.params, result2.params)
def test_regularized_refit():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
model1 = OLS(yvec, xmat)
result1 = model1.fit_regularized(alpha=2., L1_wt=0.5, refit=True)
model2 = OLS(yvec, xmat)
result2 = model2.fit_regularized(alpha=2., L1_wt=0.5, refit=True)
assert_allclose(result1.params, result2.params)
assert_allclose(result1.bse, result2.bse)
def test_regularized_refit():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
model1 = OLS(yvec, xmat)
result1 = model1.fit_regularized(alpha=2., L1_wt=0.5, refit=True)
model2 = OLS(yvec, xmat)
result2 = model2.fit_regularized(alpha=2., L1_wt=0.5, refit=True)
assert_allclose(result1.params, result2.params)
assert_allclose(result1.bse, result2.bse)
def test_regularized_options():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
yvec = xmat.sum(1) + np.random.normal(size=n)
model1 = OLS(yvec - 1, xmat)
result1 = model1.fit_regularized(alpha=1., L1_wt=0.5)
model2 = OLS(yvec, xmat, offset=1)
result2 = model2.fit_regularized(alpha=1., L1_wt=0.5,
start_params=np.zeros(5))
assert_allclose(result1.params, result2.params)
def test_repeat_partition():
# tests that if we use identical partitions the average is the same
# as the estimate for the full data
np.random.seed(435265)
N = 200
p = 10
m = 1
beta = np.random.normal(size=p)
beta = beta * np.random.randint(0, 2, p)
X = np.random.normal(size=(N, p))
y = X.dot(beta) + np.random.normal(size=N)
def _rep_data_gen(endog, exog, partitions):
"""partitions data"""
n_exog = exog.shape[0]
n_part = np.ceil(n_exog / partitions)
ii = 0
while ii < n_exog:
yield endog, exog
ii += int(n_part)
nv_mod = DistributedModel(m, estimation_method=_est_regularized_naive,
join_method=_join_naive)
fitOLSnv = nv_mod.fit(_rep_data_gen(y, X, m), fit_kwds={"alpha": 0.1})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit_regularized(alpha=0.1)
assert_allclose(fitOLSnv.params, fitOLS.params)
def test_regularized_weights(self):
np.random.seed(1432)
exog1 = np.random.normal(size=(100, 3))
endog1 = exog1[:, 0] + exog1[:, 1] + np.random.normal(size=100)
exog2 = np.random.normal(size=(100, 3))
endog2 = exog2[:, 0] + exog2[:, 1] + np.random.normal(size=100)
exog_a = np.vstack((exog1, exog1, exog2))
endog_a = np.concatenate((endog1, endog1, endog2))
# Should be equivalent to exog_a, endog_a.
exog_b = np.vstack((exog1, exog2))
endog_b = np.concatenate((endog1, endog2))
wgts = np.ones(200)
wgts[0:100] = 2
sigma = np.diag(1 / wgts)
for L1_wt in 0, 0.5, 1:
for alpha in 0, 1:
mod1 = OLS(endog_a, exog_a)
rslt1 = mod1.fit_regularized(L1_wt=L1_wt, alpha=alpha)
mod2 = WLS(endog_b, exog_b, weights=wgts)
rslt2 = mod2.fit_regularized(L1_wt=L1_wt, alpha=alpha)
mod3 = GLS(endog_b, exog_b, sigma=sigma)
rslt3 = mod3.fit_regularized(L1_wt=L1_wt, alpha=alpha)
assert_almost_equal(rslt1.params, rslt2.params, decimal=3)
assert_almost_equal(rslt1.params, rslt3.params, decimal=3)
def test_regularized_weights(self):
np.random.seed(1432)
exog1 = np.random.normal(size=(100, 3))
endog1 = exog1[:, 0] + exog1[:, 1] + np.random.normal(size=100)
exog2 = np.random.normal(size=(100, 3))
endog2 = exog2[:, 0] + exog2[:, 1] + np.random.normal(size=100)
exog_a = np.vstack((exog1, exog1, exog2))
endog_a = np.concatenate((endog1, endog1, endog2))
# Should be equivalent to exog_a, endog_a.
exog_b = np.vstack((exog1, exog2))
endog_b = np.concatenate((endog1, endog2))
wgts = np.ones(200)
wgts[0:100] = 2
sigma = np.diag(1/wgts)
for L1_wt in 0, 0.5, 1:
for alpha in 0, 1:
mod1 = OLS(endog_a, exog_a)
rslt1 = mod1.fit_regularized(L1_wt=L1_wt, alpha=alpha)
mod2 = WLS(endog_b, exog_b, weights=wgts)
rslt2 = mod2.fit_regularized(L1_wt=L1_wt, alpha=alpha)
mod3 = GLS(endog_b, exog_b, sigma=sigma)
rslt3 = mod3.fit_regularized(L1_wt=L1_wt, alpha=alpha)
assert_almost_equal(rslt1.params, rslt2.params, decimal=3)
assert_almost_equal(rslt1.params, rslt3.params, decimal=3)
def test_regularized(self):
import os
from . import glmnet_r_results
cur_dir = os.path.dirname(os.path.abspath(__file__))
data = np.loadtxt(os.path.join(cur_dir, "results", "lasso_data.csv"),
delimiter=",")
tests = [x for x in dir(glmnet_r_results) if x.startswith("rslt_")]
for test in tests:
vec = getattr(glmnet_r_results, test)
n = vec[0]
p = vec[1]
L1_wt = float(vec[2])
lam = float(vec[3])
params = vec[4:].astype(np.float64)
endog = data[0:int(n), 0]
exog = data[0:int(n), 1:(int(p)+1)]
endog = endog - endog.mean()
endog /= endog.std(ddof=1)
exog = exog - exog.mean(0)
exog /= exog.std(0, ddof=1)
mod = OLS(endog, exog)
rslt = mod.fit_regularized(L1_wt=L1_wt, alpha=lam)
assert_almost_equal(rslt.params, params, decimal=3)
# Smoke test for summary
smry = rslt.summary()
def test_repeat_partition():
# tests that if we use identical partitions the average is the same
# as the estimate for the full data
np.random.seed(435265)
N = 200
p = 10
m = 1
beta = np.random.normal(size=p)
beta = beta * np.random.randint(0, 2, p)
X = np.random.normal(size=(N, p))
y = X.dot(beta) + np.random.normal(size=N)
def _rep_data_gen(endog, exog, partitions):
"""partitions data"""
n_exog = exog.shape[0]
n_part = np.ceil(n_exog / partitions)
ii = 0
while ii < n_exog:
yield endog, exog
ii += int(n_part)
nv_mod = DistributedModel(m,
estimation_method=_est_regularized_naive,
join_method=_join_naive)
fitOLSnv = nv_mod.fit(_rep_data_gen(y, X, m), fit_kwds={"alpha": 0.1})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit_regularized(alpha=0.1)
assert_allclose(fitOLSnv.params, fitOLS.params)
def test_empty_model(self):
np.random.seed(742)
n = 100
endog = np.random.normal(size=n)
exog = np.random.normal(size=(n, 3))
model = OLS(endog, exog)
result = model.fit_regularized(alpha=1000)
assert_equal(result.params, 0.)
def test_empty_model(self):
np.random.seed(742)
n = 100
endog = np.random.normal(size=n)
exog = np.random.normal(size=(n, 3))
model = OLS(endog, exog)
result = model.fit_regularized(alpha=1000)
assert_equal(result.params, 0.)
def test_regularized_refit():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
# covariates 0 and 2 matter
yvec = xmat[:, 0] + xmat[:, 2] + np.random.normal(size=n)
model1 = OLS(yvec, xmat)
result1 = model1.fit_regularized(alpha=2., L1_wt=0.5, refit=True)
model2 = OLS(yvec, xmat[:, [0, 2]])
result2 = model2.fit()
ii = [0, 2]
assert_allclose(result1.params[ii], result2.params)
assert_allclose(result1.bse[ii], result2.bse)
def test_regularized_refit():
n = 100
p = 5
np.random.seed(3132)
xmat = np.random.normal(size=(n, p))
# covariates 0 and 2 matter
yvec = xmat[:, 0] + xmat[:, 2] + np.random.normal(size=n)
model1 = OLS(yvec, xmat)
result1 = model1.fit_regularized(alpha=2., L1_wt=0.5, refit=True)
model2 = OLS(yvec, xmat[:, [0, 2]])
result2 = model2.fit()
ii = [0, 2]
assert_allclose(result1.params[ii], result2.params)
assert_allclose(result1.bse[ii], result2.bse)
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)
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 _calc_nodewise_row(exog, idx, alpha):
"""calculates the nodewise_row values for the idxth variable, used to
estimate approx_inv_cov.
Parameters
----------
exog : array-like
The weighted design matrix for the current partition.
idx : scalar
Index of the current variable.
alpha : scalar or array-like
The penalty weight. If a scalar, the same penalty weight
applies to all variables in the model. If a vector, it
must have the same length as `params`, and contains a
penalty weight for each coefficient.
Returns
-------
An array-like object of length p-1
Notes
-----
nodewise_row_i = arg min 1/(2n) ||exog_i - exog_-i gamma||_2^2
+ alpha ||gamma||_1
"""
p = exog.shape[1]
# handle array alphas
if not np.isscalar(alpha):
alpha = alpha[ind]
ind = list(range(p))
ind.pop(idx)
tmod = OLS(exog[:, idx], exog[:, ind])
nodewise_row = tmod.fit_regularized(alpha=alpha).params
return nodewise_row
def _calc_nodewise_row(exog, idx, alpha):
"""calculates the nodewise_row values for the idxth variable, used to
estimate approx_inv_cov.
Parameters
----------
exog : array-like
The weighted design matrix for the current partition.
idx : scalar
Index of the current variable.
alpha : scalar or array-like
The penalty weight. If a scalar, the same penalty weight
applies to all variables in the model. If a vector, it
must have the same length as `params`, and contains a
penalty weight for each coefficient.
Returns
-------
An array-like object of length p-1
Notes
-----
nodewise_row_i = arg min 1/(2n) ||exog_i - exog_-i gamma||_2^2
+ alpha ||gamma||_1
"""
p = exog.shape[1]
# handle array alphas
if not np.isscalar(alpha):
alpha = alpha[ind]
ind = list(range(p))
ind.pop(idx)
tmod = OLS(exog[:, idx], exog[:, ind])
nodewise_row = tmod.fit_regularized(alpha=alpha).params
return nodewise_row
def test_single_partition():
# tests that the results make sense if we have a single partition
np.random.seed(435265)
N = 200
p = 10
m = 1
beta = np.random.normal(size=p)
beta = beta * np.random.randint(0, 2, p)
X = np.random.normal(size=(N, p))
y = X.dot(beta) + np.random.normal(size=N)
# test regularized OLS v. naive
db_mod = DistributedModel(m)
fitOLSdb = db_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0})
nv_mod = DistributedModel(m,
estimation_method=_est_regularized_naive,
join_method=_join_naive)
fitOLSnv = nv_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit(alpha=0)
assert_allclose(fitOLSdb.params, fitOLS.params)
assert_allclose(fitOLSnv.params, fitOLS.params)
# test regularized
nv_mod = DistributedModel(m,
estimation_method=_est_regularized_naive,
join_method=_join_naive)
fitOLSnv = nv_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0.1})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit_regularized(alpha=0.1)
assert_allclose(fitOLSnv.params, fitOLS.params)
def test_non_zero_params():
# tests that the thresholding does not cause any issues
np.random.seed(435265)
N = 200
p = 10
m = 5
beta = np.random.normal(size=p)
beta = beta * np.random.randint(0, 2, p)
X = np.random.normal(size=(N, p))
y = X.dot(beta) + np.random.normal(size=N)
db_mod = DistributedModel(m, join_kwds={"threshold": 0.13})
fitOLSdb = db_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0.1})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit_regularized(alpha=0.1)
nz_params_db = 1 * (fitOLSdb.params != 0)
nz_params_ols = 1 * (fitOLS.params != 0)
assert_allclose(nz_params_db, nz_params_ols)
def test_non_zero_params():
# tests that the thresholding does not cause any issues
np.random.seed(435265)
N = 200
p = 10
m = 5
beta = np.random.normal(size=p)
beta = beta * np.random.randint(0, 2, p)
X = np.random.normal(size=(N, p))
y = X.dot(beta) + np.random.normal(size=N)
db_mod = DistributedModel(m, join_kwds={"threshold": 0.13})
fitOLSdb = db_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0.1})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit_regularized(alpha=0.1)
nz_params_db = 1 * (fitOLSdb.params != 0)
nz_params_ols = 1 * (fitOLS.params != 0)
assert_allclose(nz_params_db, nz_params_ols)
def test_single_partition():
# tests that the results make sense if we have a single partition
np.random.seed(435265)
N = 200
p = 10
m = 1
beta = np.random.normal(size=p)
beta = beta * np.random.randint(0, 2, p)
X = np.random.normal(size=(N, p))
y = X.dot(beta) + np.random.normal(size=N)
# test regularized OLS v. naive
db_mod = DistributedModel(m)
fitOLSdb = db_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0})
nv_mod = DistributedModel(m, estimation_method=_est_regularized_naive,
join_method=_join_naive)
fitOLSnv = nv_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit(alpha=0)
assert_allclose(fitOLSdb.params, fitOLS.params)
assert_allclose(fitOLSnv.params, fitOLS.params)
# test regularized
nv_mod = DistributedModel(m, estimation_method=_est_regularized_naive,
join_method=_join_naive)
fitOLSnv = nv_mod.fit(_data_gen(y, X, m), fit_kwds={"alpha": 0.1})
ols_mod = OLS(y, X)
fitOLS = ols_mod.fit_regularized(alpha=0.1)
assert_allclose(fitOLSnv.params, fitOLS.params)
ts_b = np.round(ts_b, 3)
p_values = np.round(p_values, 3)
params = np.round(params, 4)
myDF3 = pd.DataFrame()
myDF3["Coefficients"], myDF3["Standard Errors"], myDF3["t values"], myDF3[
"Probabilites"] = [params, sd_b, ts_b, p_values]
print(myDF3)
diabetes = datasets.load_diabetes()
X = diabetes.data
y = diabetes.target
#
X2 = sm.add_constant(X)
est = OLS(y, X2)
est2 = est.fit_regularized()
print(est2.summary())
###### Ridge
from sklearn.linear_model import Ridge
# X, y = make_regression(n_features=2, random_state=0)
X = enb_feature
y = enb_target
regr = Ridge(alpha=5.0)
regr.fit(X, y)
print(regr.coef_)
print(regr.intercept_)
# a= [[4,5],[89,76]]
# np.array(a)
# print(regr.predict(a))
def test_regularized(self):
import os
from . import glmnet_r_results
cur_dir = os.path.dirname(os.path.abspath(__file__))
data = np.loadtxt(os.path.join(cur_dir, "results", "lasso_data.csv"),
delimiter=",")
tests = [x for x in dir(glmnet_r_results) if x.startswith("rslt_")]
for test in tests:
vec = getattr(glmnet_r_results, test)
n = vec[0]
p = vec[1]
L1_wt = float(vec[2])
lam = float(vec[3])
params = vec[4:].astype(np.float64)
endog = data[0:n, 0]
exog = data[0:n, 1:(p + 1)]
endog = endog - endog.mean()
endog /= endog.std(ddof=1)
exog = exog - exog.mean(0)
exog /= exog.std(0, ddof=1)
mod = OLS(endog, exog)
rslt = mod.fit_regularized(L1_wt=L1_wt, alpha=lam)
assert_almost_equal(rslt.params, params, decimal=3)
# Smoke test for summary
smry = rslt.summary()