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Theil-Sen Regression¶
Computes a Theil-Sen Regression on a synthetic dataset.
See Theil-Sen estimator: generalized-median-based estimator for more information on the regressor.
Compared to the OLS (ordinary least squares) estimator, the Theil-Sen estimator is robust against outliers. It has a breakdown point of about 29.3% in case of a simple linear regression which means that it can tolerate arbitrary corrupted data (outliers) of up to 29.3% in the two-dimensional case.
The estimation of the model is done by calculating the slopes and intercepts of a subpopulation of all possible combinations of p subsample points. If an intercept is fitted, p must be greater than or equal to n_features + 1. The final slope and intercept is then defined as the spatial median of these slopes and intercepts.
In certain cases Theil-Sen performs better than RANSAC which is also a robust method. This is illustrated in the
second example below where outliers with respect to the x-axis perturb RANSAC.
Tuning the residual_threshold
parameter of RANSAC remedies this but in
general a priori knowledge about the data and the nature of the outliers is
needed.
Due to the computational complexity of Theil-Sen it is recommended to use it
only for small problems in terms of number of samples and features. For larger
problems the max_subpopulation
parameter restricts the magnitude of all
possible combinations of p subsample points to a randomly chosen subset and
therefore also limits the runtime. Therefore, Theil-Sen is applicable to larger
problems with the drawback of losing some of its mathematical properties since
it then works on a random subset.
# Author: Florian Wilhelm -- <florian.wilhelm@gmail.com>
# License: BSD 3 clause
import time
import matplotlib.pyplot as plt
import numpy as np
from sklearn.linear_model import LinearRegression, RANSACRegressor, TheilSenRegressor
estimators = [
("OLS", LinearRegression()),
("Theil-Sen", TheilSenRegressor(random_state=42)),
("RANSAC", RANSACRegressor(random_state=42)),
]
colors = {"OLS": "turquoise", "Theil-Sen": "gold", "RANSAC": "lightgreen"}
lw = 2
Outliers only in the y direction¶
np.random.seed(0)
n_samples = 200
# Linear model y = 3*x + N(2, 0.1**2)
x = np.random.randn(n_samples)
w = 3.0
c = 2.0
noise = 0.1 * np.random.randn(n_samples)
y = w * x + c + noise
# 10% outliers
y[-20:] += -20 * x[-20:]
X = x[:, np.newaxis]
plt.scatter(x, y, color="indigo", marker="x", s=40)
line_x = np.array([-3, 3])
for name, estimator in estimators:
t0 = time.time()
estimator.fit(X, y)
elapsed_time = time.time() - t0
y_pred = estimator.predict(line_x.reshape(2, 1))
plt.plot(
line_x,
y_pred,
color=colors[name],
linewidth=lw,
label="%s (fit time: %.2fs)" % (name, elapsed_time),
)
plt.axis("tight")
plt.legend(loc="upper left")
_ = plt.title("Corrupt y")
Outliers in the X direction¶
np.random.seed(0)
# Linear model y = 3*x + N(2, 0.1**2)
x = np.random.randn(n_samples)
noise = 0.1 * np.random.randn(n_samples)
y = 3 * x + 2 + noise
# 10% outliers
x[-20:] = 9.9
y[-20:] += 22
X = x[:, np.newaxis]
plt.figure()
plt.scatter(x, y, color="indigo", marker="x", s=40)
line_x = np.array([-3, 10])
for name, estimator in estimators:
t0 = time.time()
estimator.fit(X, y)
elapsed_time = time.time() - t0
y_pred = estimator.predict(line_x.reshape(2, 1))
plt.plot(
line_x,
y_pred,
color=colors[name],
linewidth=lw,
label="%s (fit time: %.2fs)" % (name, elapsed_time),
)
plt.axis("tight")
plt.legend(loc="upper left")
plt.title("Corrupt x")
plt.show()
Total running time of the script: (0 minutes 0.546 seconds)
Related examples
Robust linear model estimation using RANSAC
Robust linear estimator fitting
Compare the effect of different scalers on data with outliers
Comparing anomaly detection algorithms for outlier detection on toy datasets