Comparing Linear Bayesian Regressors

This example compares two different bayesian regressors:

In the first part, we use an Ordinary Least Squares (OLS) model as a baseline for comparing the models’ coefficients with respect to the true coefficients. Thereafter, we show that the estimation of such models is done by iteratively maximizing the marginal log-likelihood of the observations.

In the last section we plot predictions and uncertainties for the ARD and the Bayesian Ridge regressions using a polynomial feature expansion to fit a non-linear relationship between X and y.

# Author: Arturo Amor <>

Models robustness to recover the ground truth weights

Generate synthetic dataset

We generate a dataset where X and y are linearly linked: 10 of the features of X will be used to generate y. The other features are not useful at predicting y. In addition, we generate a dataset where n_samples == n_features. Such a setting is challenging for an OLS model and leads potentially to arbitrary large weights. Having a prior on the weights and a penalty alleviates the problem. Finally, gaussian noise is added.

from sklearn.datasets import make_regression

X, y, true_weights = make_regression(

Fit the regressors

We now fit both Bayesian models and the OLS to later compare the models’ coefficients.

import pandas as pd

from sklearn.linear_model import ARDRegression, BayesianRidge, LinearRegression

olr = LinearRegression().fit(X, y)
brr = BayesianRidge(compute_score=True, max_iter=30).fit(X, y)
ard = ARDRegression(compute_score=True, max_iter=30).fit(X, y)
df = pd.DataFrame(
        "Weights of true generative process": true_weights,
        "ARDRegression": ard.coef_,
        "BayesianRidge": brr.coef_,
        "LinearRegression": olr.coef_,

Plot the true and estimated coefficients

Now we compare the coefficients of each model with the weights of the true generative model.

import matplotlib.pyplot as plt
import seaborn as sns
from matplotlib.colors import SymLogNorm

plt.figure(figsize=(10, 6))
ax = sns.heatmap(
    norm=SymLogNorm(linthresh=10e-4, vmin=-80, vmax=80),
    cbar_kws={"label": "coefficients' values"},
plt.ylabel("linear model")
plt.tight_layout(rect=(0, 0, 1, 0.95))
_ = plt.title("Models' coefficients")
Models' coefficients

Due to the added noise, none of the models recover the true weights. Indeed, all models always have more than 10 non-zero coefficients. Compared to the OLS estimator, the coefficients using a Bayesian Ridge regression are slightly shifted toward zero, which stabilises them. The ARD regression provides a sparser solution: some of the non-informative coefficients are set exactly to zero, while shifting others closer to zero. Some non-informative coefficients are still present and retain large values.

Plot the marginal log-likelihood

import numpy as np

ard_scores = -np.array(ard.scores_)
brr_scores = -np.array(brr.scores_)
plt.plot(ard_scores, color="navy", label="ARD")
plt.plot(brr_scores, color="red", label="BayesianRidge")
plt.xlim(1, 30)
_ = plt.title("Models log-likelihood")
Models log-likelihood

Indeed, both models minimize the log-likelihood up to an arbitrary cutoff defined by the max_iter parameter.

Bayesian regressions with polynomial feature expansion

Generate synthetic dataset

We create a target that is a non-linear function of the input feature. Noise following a standard uniform distribution is added.

from sklearn.pipeline import make_pipeline
from sklearn.preprocessing import PolynomialFeatures, StandardScaler

rng = np.random.RandomState(0)
n_samples = 110

# sort the data to make plotting easier later
X = np.sort(-10 * rng.rand(n_samples) + 10)
noise = rng.normal(0, 1, n_samples) * 1.35
y = np.sqrt(X) * np.sin(X) + noise
full_data = pd.DataFrame({"input_feature": X, "target": y})
X = X.reshape((-1, 1))

# extrapolation
X_plot = np.linspace(10, 10.4, 10)
y_plot = np.sqrt(X_plot) * np.sin(X_plot)
X_plot = np.concatenate((X, X_plot.reshape((-1, 1))))
y_plot = np.concatenate((y - noise, y_plot))

Fit the regressors

Here we try a degree 10 polynomial to potentially overfit, though the bayesian linear models regularize the size of the polynomial coefficients. As fit_intercept=True by default for ARDRegression and BayesianRidge, then PolynomialFeatures should not introduce an additional bias feature. By setting return_std=True, the bayesian regressors return the standard deviation of the posterior distribution for the model parameters.

ard_poly = make_pipeline(
    PolynomialFeatures(degree=10, include_bias=False),
).fit(X, y)
brr_poly = make_pipeline(
    PolynomialFeatures(degree=10, include_bias=False),
).fit(X, y)

y_ard, y_ard_std = ard_poly.predict(X_plot, return_std=True)
y_brr, y_brr_std = brr_poly.predict(X_plot, return_std=True)

Plotting polynomial regressions with std errors of the scores

ax = sns.scatterplot(
    data=full_data, x="input_feature", y="target", color="black", alpha=0.75
ax.plot(X_plot, y_plot, color="black", label="Ground Truth")
ax.plot(X_plot, y_brr, color="red", label="BayesianRidge with polynomial features")
ax.plot(X_plot, y_ard, color="navy", label="ARD with polynomial features")
    y_ard - y_ard_std,
    y_ard + y_ard_std,
    y_brr - y_brr_std,
    y_brr + y_brr_std,
_ = ax.set_title("Polynomial fit of a non-linear feature")
Polynomial fit of a non-linear feature

The error bars represent one standard deviation of the predicted gaussian distribution of the query points. Notice that the ARD regression captures the ground truth the best when using the default parameters in both models, but further reducing the lambda_init hyperparameter of the Bayesian Ridge can reduce its bias (see example Curve Fitting with Bayesian Ridge Regression). Finally, due to the intrinsic limitations of a polynomial regression, both models fail when extrapolating.

Total running time of the script: (0 minutes 0.674 seconds)

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