"""
==========================================================================
Fitting an Elastic Net with a precomputed Gram Matrix and Weighted Samples
==========================================================================
The following example shows how to precompute the gram matrix
while using weighted samples with an ElasticNet.
If weighted samples are used, the design matrix must be centered and then
rescaled by the square root of the weight vector before the gram matrix
is computed.
.. note::
`sample_weight` vector is also rescaled to sum to `n_samples`, see the
documentation for the `sample_weight` parameter to
:func:`linear_model.ElasticNet.fit`.
"""
# %%
# Let's start by loading the dataset and creating some sample weights.
import numpy as np
from sklearn.datasets import make_regression
rng = np.random.RandomState(0)
n_samples = int(1e5)
X, y = make_regression(n_samples=n_samples, noise=0.5, random_state=rng)
sample_weight = rng.lognormal(size=n_samples)
# normalize the sample weights
normalized_weights = sample_weight * (n_samples / (sample_weight.sum()))
# %%
# To fit the elastic net using the `precompute` option together with the sample
# weights, we must first center the design matrix, and rescale it by the
# normalized weights prior to computing the gram matrix.
X_offset = np.average(X, axis=0, weights=normalized_weights)
X_centered = X - np.average(X, axis=0, weights=normalized_weights)
X_scaled = X_centered * np.sqrt(normalized_weights)[:, np.newaxis]
gram = np.dot(X_scaled.T, X_scaled)
# %%
# We can now proceed with fitting. We must passed the centered design matrix to
# `fit` otherwise the elastic net estimator will detect that it is uncentered
# and discard the gram matrix we passed. However, if we pass the scaled design
# matrix, the preprocessing code will incorrectly rescale it a second time.
from sklearn.linear_model import ElasticNet
lm = ElasticNet(alpha=0.01, precompute=gram)
lm.fit(X_centered, y, sample_weight=normalized_weights)