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 the 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=’lar’, 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 ndarray 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 ndarray of shape (n_samples,)

Input targets.

Xyarray-like of shape (n_features,), default=None

Xy = X.T @ y that can be precomputed. It is useful only when the Gram matrix is precomputed.

GramNone, ‘auto’, bool, ndarray of shape (n_features, n_features), default=None

Precomputed Gram matrix X.T @ 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 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 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:
alphasndarray of shape (n_alphas + 1,)

Maximum of covariances (in absolute value) at each iteration. n_alphas is either max_iter, n_features, or the number of nodes in the path with alpha >= alpha_min, whichever is smaller.

activendarray of shape (n_alphas,)

Indices of active variables at the end of the path.

coefsndarray 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

lars_path_gram

Compute LARS path in the sufficient stats mode.

lasso_path

Compute Lasso path with coordinate descent.

LassoLars

Lasso model fit with Least Angle Regression a.k.a. Lars.

Lars

Least Angle Regression model a.k.a. LAR.

LassoLarsCV

Cross-validated Lasso, using the LARS algorithm.

LarsCV

Cross-validated Least Angle Regression model.

sklearn.decomposition.sparse_encode

Sparse coding.

References

Examples

>>> from sklearn.linear_model import lars_path
>>> from sklearn.datasets import make_regression
>>> X, y, true_coef = make_regression(
...    n_samples=100, n_features=5, n_informative=2, coef=True, random_state=0
... )
>>> true_coef
array([ 0.        ,  0.        ,  0.        , 97.9..., 45.7...])
>>> alphas, _, estimated_coef = lars_path(X, y)
>>> alphas.shape
(3,)
>>> estimated_coef
array([[ 0.     ,  0.     ,  0.     ],
       [ 0.     ,  0.     ,  0.     ],
       [ 0.     ,  0.     ,  0.     ],
       [ 0.     , 46.96..., 97.99...],
       [ 0.     ,  0.     , 45.70...]])

Examples using sklearn.linear_model.lars_path

Lasso path using LARS

Lasso path using LARS