Getting Started: fitting a Lasso model

The purpose of this tutorial is to show the basics of glum. It assumes a working knowledge of python, regularized linear models, and machine learning. The API is very similar to scikit-learn. After all, glum is based on a fork of scikit-learn.

If you have not done so already, please refer to our installation instructions for installing glum.

import pandas as pd
import sklearn
from sklearn.datasets import fetch_openml
from glum import GeneralizedLinearRegressor, GeneralizedLinearRegressorCV

Data

We start by loading the King County housing dataset from openML and splitting it into training and test sets. For simplicity, we don’t go into any details regarding exploration or data cleaning.

house_data = fetch_openml(name="house_sales", version=3, as_frame=True)

# Use only select features
X = house_data.data[
    [
        "bedrooms",
        "bathrooms",
        "sqft_living",
        "floors",
        "waterfront",
        "view",
        "condition",
        "grade",
        "yr_built",
    ]
].copy()

# Targets
y = house_data.target

X_train, X_test, y_train, y_test = sklearn.model_selection.train_test_split(
    X, y, test_size = 0.3, random_state=5
)

GLM basics: fitting and predicting using the normal family

We’ll use glum.GeneralizedLinearRegressor to predict the house prices using the available predictors.

We set three key parameters:

• family: the family parameter specifies the distributional assumption of the GLM and, as a consequence, the loss function to be minimized. Accepted strings are ‘normal’, ‘poisson’, ‘gamma’, ‘inverse.gaussian’, and ‘binomial’. You can also pass in an instantiated glum distribution (e.g. glum.TweedieDistribution(1.5) )

• alpha: the constant multiplying the penalty term that determines regularization strength. (Note: GeneralizedLinearRegressor also has an alpha-search option. See the GeneralizedLinearRegressorCV example below for details on how alpha-search works).

• l1_ratio: the elastic net mixing parameter (0 <= l1_ratio <= 1). For l1_ratio = 0, the penalty is the L2 penalty (ridge). For l1_ratio = 1, it is an L1 penalty (lasso). For 0 < l1_ratio < 1, the penalty is a combination of L1 and L2.

To be precise, we will be minimizing the function with respect to the parameters, \(\beta\):

\begin{equation} \frac{1}{N}(\mathbf{X}\beta - y)^2 + \alpha\|\beta\|_1 \end{equation}

glm = GeneralizedLinearRegressor(family="normal", alpha=0.1, l1_ratio=1)

The GeneralizedLinearRegressor.fit() method follows typical sklearn API style and accepts two primary inputs:

1. X: the design matrix with shape (n_samples, n_features).

2. y: the n_samples length array of target data.

glm.fit(X_train, y_train)

GeneralizedLinearRegressor(alpha=0.1, l1_ratio=1)

Once the model has been estimated, we can retrieve useful information using an sklearn-style syntax.

# retrieve the coefficients and the intercept
coefs = glm.coef_
intercept = glm.intercept_

# use the model to predict on our test data
preds = glm.predict(X_test)

preds[0:5]

array([ 482648.22861066,  142902.68859995,  539452.61266391,
        569693.78048569, 1042446.90903451])

Fitting a GLM with cross validation

Now, we fit using automatic cross validation with glum.GeneralizedLinearRegressorCV. This mirrors the commonly used cv.glmnet function.

Some important parameters:

• alphas: for GeneralizedLinearRegressorCV, the best alpha will be found by searching along the regularization path. The regularization path is determined as follows:

  1. If alpha is an iterable, use it directly. All other parameters governing the regularization path are ignored.

  2. If min_alpha is set, create a path from min_alpha to the lowest alpha such that all coefficients are zero.

  3. If min_alpha_ratio is set, create a path where the ratio of min_alpha / max_alpha = min_alpha_ratio.

  4. If none of the above parameters are set, use a min_alpha_ratio of 1e-6.

• l1_ratio: for GeneralizedLinearRegressorCV, if you pass l1_ratio as an array, the fit method will choose the best value of l1_ratio and store it as self.l1_ratio_.

glmcv = GeneralizedLinearRegressorCV(
    family="normal",
    alphas=None,  # default
    min_alpha=None,  # default
    min_alpha_ratio=None,  # default
    l1_ratio=[0, 0.5, 1.0],
    fit_intercept=True,
    max_iter=150
)
glmcv.fit(X_train, y_train)
print(f"Chosen alpha:    {glmcv.alpha_}")
print(f"Chosen l1 ratio: {glmcv.l1_ratio_}")

Chosen alpha:    0.0003274549162877732
Chosen l1 ratio: 0.0

Congratulations! You have finished our getting started tutorial. If you wish to learn more, please see our other tutorials for more advanced topics like Poisson, Gamma, and Tweedie regression, high dimensional fixed effects, and spatial smoothing using Tikhonov regularization.