.. DO NOT EDIT. .. THIS FILE WAS AUTOMATICALLY GENERATED BY SPHINX-GALLERY. .. TO MAKE CHANGES, EDIT THE SOURCE PYTHON FILE: .. "auto_examples/linear_model/plot_sgd_early_stopping.py" .. LINE NUMBERS ARE GIVEN BELOW. .. only:: html .. note:: :class: sphx-glr-download-link-note Click :ref:`here ` to download the full example code or to run this example in your browser via Binder .. rst-class:: sphx-glr-example-title .. _sphx_glr_auto_examples_linear_model_plot_sgd_early_stopping.py: ============================================= Early stopping of Stochastic Gradient Descent ============================================= Stochastic Gradient Descent is an optimization technique which minimizes a loss function in a stochastic fashion, performing a gradient descent step sample by sample. In particular, it is a very efficient method to fit linear models. As a stochastic method, the loss function is not necessarily decreasing at each iteration, and convergence is only guaranteed in expectation. For this reason, monitoring the convergence on the loss function can be difficult. Another approach is to monitor convergence on a validation score. In this case, the input data is split into a training set and a validation set. The model is then fitted on the training set and the stopping criterion is based on the prediction score computed on the validation set. This enables us to find the least number of iterations which is sufficient to build a model that generalizes well to unseen data and reduces the chance of over-fitting the training data. This early stopping strategy is activated if ``early_stopping=True``; otherwise the stopping criterion only uses the training loss on the entire input data. To better control the early stopping strategy, we can specify a parameter ``validation_fraction`` which set the fraction of the input dataset that we keep aside to compute the validation score. The optimization will continue until the validation score did not improve by at least ``tol`` during the last ``n_iter_no_change`` iterations. The actual number of iterations is available at the attribute ``n_iter_``. This example illustrates how the early stopping can used in the :class:`~sklearn.linear_model.SGDClassifier` model to achieve almost the same accuracy as compared to a model built without early stopping. This can significantly reduce training time. Note that scores differ between the stopping criteria even from early iterations because some of the training data is held out with the validation stopping criterion. .. GENERATED FROM PYTHON SOURCE LINES 39-154 .. image-sg:: /auto_examples/linear_model/images/sphx_glr_plot_sgd_early_stopping_001.png :alt: Train score, Test score, n_iter_, Fit time (sec) :srcset: /auto_examples/linear_model/images/sphx_glr_plot_sgd_early_stopping_001.png :class: sphx-glr-single-img .. rst-class:: sphx-glr-script-out Out: .. code-block:: none No stopping criterion: ................................................. Training loss: ................................................. Validation score: ................................................. | .. code-block:: default # Authors: Tom Dupre la Tour # # License: BSD 3 clause import time import sys import pandas as pd import numpy as np import matplotlib.pyplot as plt from sklearn import linear_model from sklearn.datasets import fetch_openml from sklearn.model_selection import train_test_split from sklearn.utils._testing import ignore_warnings from sklearn.exceptions import ConvergenceWarning from sklearn.utils import shuffle def load_mnist(n_samples=None, class_0="0", class_1="8"): """Load MNIST, select two classes, shuffle and return only n_samples.""" # Load data from http://openml.org/d/554 mnist = fetch_openml("mnist_784", version=1, as_frame=False, parser="pandas") # take only two classes for binary classification mask = np.logical_or(mnist.target == class_0, mnist.target == class_1) X, y = shuffle(mnist.data[mask], mnist.target[mask], random_state=42) if n_samples is not None: X, y = X[:n_samples], y[:n_samples] return X, y @ignore_warnings(category=ConvergenceWarning) def fit_and_score(estimator, max_iter, X_train, X_test, y_train, y_test): """Fit the estimator on the train set and score it on both sets""" estimator.set_params(max_iter=max_iter) estimator.set_params(random_state=0) start = time.time() estimator.fit(X_train, y_train) fit_time = time.time() - start n_iter = estimator.n_iter_ train_score = estimator.score(X_train, y_train) test_score = estimator.score(X_test, y_test) return fit_time, n_iter, train_score, test_score # Define the estimators to compare estimator_dict = { "No stopping criterion": linear_model.SGDClassifier(n_iter_no_change=3), "Training loss": linear_model.SGDClassifier( early_stopping=False, n_iter_no_change=3, tol=0.1 ), "Validation score": linear_model.SGDClassifier( early_stopping=True, n_iter_no_change=3, tol=0.0001, validation_fraction=0.2 ), } # Load the dataset X, y = load_mnist(n_samples=10000) X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.5, random_state=0) results = [] for estimator_name, estimator in estimator_dict.items(): print(estimator_name + ": ", end="") for max_iter in range(1, 50): print(".", end="") sys.stdout.flush() fit_time, n_iter, train_score, test_score = fit_and_score( estimator, max_iter, X_train, X_test, y_train, y_test ) results.append( (estimator_name, max_iter, fit_time, n_iter, train_score, test_score) ) print("") # Transform the results in a pandas dataframe for easy plotting columns = [ "Stopping criterion", "max_iter", "Fit time (sec)", "n_iter_", "Train score", "Test score", ] results_df = pd.DataFrame(results, columns=columns) # Define what to plot (x_axis, y_axis) lines = "Stopping criterion" plot_list = [ ("max_iter", "Train score"), ("max_iter", "Test score"), ("max_iter", "n_iter_"), ("max_iter", "Fit time (sec)"), ] nrows = 2 ncols = int(np.ceil(len(plot_list) / 2.0)) fig, axes = plt.subplots(nrows=nrows, ncols=ncols, figsize=(6 * ncols, 4 * nrows)) axes[0, 0].get_shared_y_axes().join(axes[0, 0], axes[0, 1]) for ax, (x_axis, y_axis) in zip(axes.ravel(), plot_list): for criterion, group_df in results_df.groupby(lines): group_df.plot(x=x_axis, y=y_axis, label=criterion, ax=ax) ax.set_title(y_axis) ax.legend(title=lines) fig.tight_layout() plt.show() .. rst-class:: sphx-glr-timing **Total running time of the script:** ( 0 minutes 35.862 seconds) .. _sphx_glr_download_auto_examples_linear_model_plot_sgd_early_stopping.py: .. only :: html .. container:: sphx-glr-footer :class: sphx-glr-footer-example .. container:: binder-badge .. image:: images/binder_badge_logo.svg :target: https://mybinder.org/v2/gh/scikit-learn/scikit-learn/main?urlpath=lab/tree/notebooks/auto_examples/linear_model/plot_sgd_early_stopping.ipynb :alt: Launch binder :width: 150 px .. container:: sphx-glr-download sphx-glr-download-python :download:`Download Python source code: plot_sgd_early_stopping.py ` .. container:: sphx-glr-download sphx-glr-download-jupyter :download:`Download Jupyter notebook: plot_sgd_early_stopping.ipynb ` .. only:: html .. rst-class:: sphx-glr-signature `Gallery generated by Sphinx-Gallery `_