"""Module :mod:`sklearn.kernel_ridge` implements kernel ridge regression.""" # Authors: Mathieu Blondel # Jan Hendrik Metzen # License: BSD 3 clause import numpy as np from .base import BaseEstimator, RegressorMixin from .metrics.pairwise import pairwise_kernels from .linear_model.ridge import _solve_cholesky_kernel from .utils import check_array, check_X_y from .utils.validation import check_is_fitted class KernelRidge(BaseEstimator, RegressorMixin): """Kernel ridge regression. Kernel ridge regression (KRR) combines ridge regression (linear least squares with l2-norm regularization) with the kernel trick. It thus learns a linear function in the space induced by the respective kernel and the data. For non-linear kernels, this corresponds to a non-linear function in the original space. The form of the model learned by KRR is identical to support vector regression (SVR). However, different loss functions are used: KRR uses squared error loss while support vector regression uses epsilon-insensitive loss, both combined with l2 regularization. In contrast to SVR, fitting a KRR model can be done in closed-form and is typically faster for medium-sized datasets. On the other hand, the learned model is non-sparse and thus slower than SVR, which learns a sparse model for epsilon > 0, at prediction-time. This estimator has built-in support for multi-variate regression (i.e., when y is a 2d-array of shape [n_samples, n_targets]). Read more in the :ref:`User Guide `. Parameters ---------- alpha : {float, array-like}, shape = [n_targets] Small positive values of alpha improve the conditioning of the problem and reduce the variance of the estimates. Alpha corresponds to ``(2*C)^-1`` in other linear models such as LogisticRegression or LinearSVC. If an array is passed, penalties are assumed to be specific to the targets. Hence they must correspond in number. kernel : string or callable, default="linear" Kernel mapping used internally. A callable should accept two arguments and the keyword arguments passed to this object as kernel_params, and should return a floating point number. gamma : float, default=None Gamma parameter for the RBF, laplacian, polynomial, exponential chi2 and sigmoid kernels. Interpretation of the default value is left to the kernel; see the documentation for sklearn.metrics.pairwise. Ignored by other kernels. degree : float, default=3 Degree of the polynomial kernel. Ignored by other kernels. coef0 : float, default=1 Zero coefficient for polynomial and sigmoid kernels. Ignored by other kernels. kernel_params : mapping of string to any, optional Additional parameters (keyword arguments) for kernel function passed as callable object. Attributes ---------- dual_coef_ : array, shape = [n_samples] or [n_samples, n_targets] Representation of weight vector(s) in kernel space X_fit_ : {array-like, sparse matrix}, shape = [n_samples, n_features] Training data, which is also required for prediction References ---------- * Kevin P. Murphy "Machine Learning: A Probabilistic Perspective", The MIT Press chapter 14.4.3, pp. 492-493 See also -------- Ridge Linear ridge regression. SVR Support Vector Regression implemented using libsvm. Examples -------- >>> from sklearn.kernel_ridge import KernelRidge >>> import numpy as np >>> n_samples, n_features = 10, 5 >>> rng = np.random.RandomState(0) >>> y = rng.randn(n_samples) >>> X = rng.randn(n_samples, n_features) >>> clf = KernelRidge(alpha=1.0) >>> clf.fit(X, y) # doctest: +NORMALIZE_WHITESPACE KernelRidge(alpha=1.0, coef0=1, degree=3, gamma=None, kernel='linear', kernel_params=None) """ def __init__(self, alpha=1, kernel="linear", gamma=None, degree=3, coef0=1, kernel_params=None): self.alpha = alpha self.kernel = kernel self.gamma = gamma self.degree = degree self.coef0 = coef0 self.kernel_params = kernel_params def _get_kernel(self, X, Y=None): if callable(self.kernel): params = self.kernel_params or {} else: params = {"gamma": self.gamma, "degree": self.degree, "coef0": self.coef0} return pairwise_kernels(X, Y, metric=self.kernel, filter_params=True, **params) @property def _pairwise(self): return self.kernel == "precomputed" def fit(self, X, y=None, sample_weight=None): """Fit Kernel Ridge regression model Parameters ---------- X : {array-like, sparse matrix}, shape = [n_samples, n_features] Training data y : array-like, shape = [n_samples] or [n_samples, n_targets] Target values sample_weight : float or array-like of shape [n_samples] Individual weights for each sample, ignored if None is passed. Returns ------- self : returns an instance of self. """ # Convert data X, y = check_X_y(X, y, accept_sparse=("csr", "csc"), multi_output=True, y_numeric=True) if sample_weight is not None and not isinstance(sample_weight, float): sample_weight = check_array(sample_weight, ensure_2d=False) K = self._get_kernel(X) alpha = np.atleast_1d(self.alpha) ravel = False if len(y.shape) == 1: y = y.reshape(-1, 1) ravel = True copy = self.kernel == "precomputed" self.dual_coef_ = _solve_cholesky_kernel(K, y, alpha, sample_weight, copy) if ravel: self.dual_coef_ = self.dual_coef_.ravel() self.X_fit_ = X return self def predict(self, X): """Predict using the kernel ridge model Parameters ---------- X : {array-like, sparse matrix}, shape = [n_samples, n_features] Samples. Returns ------- C : array, shape = [n_samples] or [n_samples, n_targets] Returns predicted values. """ check_is_fitted(self, ["X_fit_", "dual_coef_"]) K = self._get_kernel(X, self.X_fit_) return np.dot(K, self.dual_coef_)