sklearn.linear_model
.lars_path¶
- sklearn.linear_model.lars_path(X, y, Xy=None, *, Gram=None, max_iter=500, alpha_min=0, method='lar', copy_X=True, eps=2.220446049250313e-16, copy_Gram=True, verbose=0, return_path=True, return_n_iter=False, positive=False)[source]¶
Compute Least Angle Regression or Lasso path using LARS algorithm [1]
The optimization objective for the case method=’lasso’ is:
(1 / (2 * n_samples)) * ||y - Xw||^2_2 + alpha * ||w||_1
in the case of method=’lars’, the objective function is only known in the form of an implicit equation (see discussion in [1])
Read more in the User Guide.
- Parameters
- XNone or array-like of shape (n_samples, n_features)
Input data. Note that if X is None then the Gram matrix must be specified, i.e., cannot be None or False.
- yNone or array-like of shape (n_samples,)
Input targets.
- Xyarray-like of shape (n_samples,) or (n_samples, n_targets), default=None
Xy = np.dot(X.T, y) that can be precomputed. It is useful only when the Gram matrix is precomputed.
- GramNone, ‘auto’, array-like of shape (n_features, n_features), default=None
Precomputed Gram matrix (X’ * X), if
'auto'
, the Gram matrix is precomputed from the given X, if there are more samples than features.- max_iterint, default=500
Maximum number of iterations to perform, set to infinity for no limit.
- alpha_minfloat, default=0
Minimum correlation along the path. It corresponds to the regularization parameter alpha parameter in the Lasso.
- method{‘lar’, ‘lasso’}, default=’lar’
Specifies the returned model. Select
'lar'
for Least Angle Regression,'lasso'
for the Lasso.- copy_Xbool, default=True
If
False
,X
is overwritten.- epsfloat, default=np.finfo(float).eps
The machine-precision regularization in the computation of the Cholesky diagonal factors. Increase this for very ill-conditioned systems. Unlike the
tol
parameter in some iterative optimization-based algorithms, this parameter does not control the tolerance of the optimization.- copy_Grambool, default=True
If
False
,Gram
is overwritten.- verboseint, default=0
Controls output verbosity.
- return_pathbool, default=True
If
return_path==True
returns the entire path, else returns only the last point of the path.- return_n_iterbool, default=False
Whether to return the number of iterations.
- positivebool, default=False
Restrict coefficients to be >= 0. This option is only allowed with method ‘lasso’. Note that the model coefficients will not converge to the ordinary-least-squares solution for small values of alpha. Only coefficients up to the smallest alpha value (
alphas_[alphas_ > 0.].min()
when fit_path=True) reached by the stepwise Lars-Lasso algorithm are typically in congruence with the solution of the coordinate descent lasso_path function.
- Returns
- alphasarray-like of shape (n_alphas + 1,)
Maximum of covariances (in absolute value) at each iteration.
n_alphas
is eithermax_iter
,n_features
or the number of nodes in the path withalpha >= alpha_min
, whichever is smaller.- activearray-like of shape (n_alphas,)
Indices of active variables at the end of the path.
- coefsarray-like of shape (n_features, n_alphas + 1)
Coefficients along the path
- n_iterint
Number of iterations run. Returned only if return_n_iter is set to True.
See also
References
- 1
“Least Angle Regression”, Efron et al. http://statweb.stanford.edu/~tibs/ftp/lars.pdf
- 2
- 3