700 lines
26 KiB
Python
700 lines
26 KiB
Python
"""GraphLasso: sparse inverse covariance estimation with an l1-penalized
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estimator.
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"""
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# Author: Gael Varoquaux <gael.varoquaux@normalesup.org>
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# License: BSD 3 clause
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# Copyright: INRIA
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import warnings
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import operator
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import sys
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import time
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import numpy as np
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from scipy import linalg
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from .empirical_covariance_ import (empirical_covariance, EmpiricalCovariance,
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log_likelihood)
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from ..exceptions import ConvergenceWarning
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from ..utils.validation import check_random_state, check_array
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from ..utils import deprecated
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from ..utils.fixes import _Sequence as Sequence
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from ..linear_model import lars_path
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from ..linear_model import cd_fast
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from ..model_selection import check_cv, cross_val_score
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from ..externals.joblib import Parallel, delayed
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# Helper functions to compute the objective and dual objective functions
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# of the l1-penalized estimator
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def _objective(mle, precision_, alpha):
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"""Evaluation of the graph-lasso objective function
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the objective function is made of a shifted scaled version of the
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normalized log-likelihood (i.e. its empirical mean over the samples) and a
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penalisation term to promote sparsity
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"""
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p = precision_.shape[0]
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cost = - 2. * log_likelihood(mle, precision_) + p * np.log(2 * np.pi)
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cost += alpha * (np.abs(precision_).sum()
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- np.abs(np.diag(precision_)).sum())
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return cost
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def _dual_gap(emp_cov, precision_, alpha):
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"""Expression of the dual gap convergence criterion
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The specific definition is given in Duchi "Projected Subgradient Methods
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for Learning Sparse Gaussians".
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"""
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gap = np.sum(emp_cov * precision_)
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gap -= precision_.shape[0]
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gap += alpha * (np.abs(precision_).sum()
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- np.abs(np.diag(precision_)).sum())
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return gap
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def alpha_max(emp_cov):
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"""Find the maximum alpha for which there are some non-zeros off-diagonal.
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Parameters
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----------
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emp_cov : 2D array, (n_features, n_features)
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The sample covariance matrix
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Notes
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-----
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This results from the bound for the all the Lasso that are solved
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in GraphLasso: each time, the row of cov corresponds to Xy. As the
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bound for alpha is given by `max(abs(Xy))`, the result follows.
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"""
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A = np.copy(emp_cov)
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A.flat[::A.shape[0] + 1] = 0
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return np.max(np.abs(A))
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# The g-lasso algorithm
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def graph_lasso(emp_cov, alpha, cov_init=None, mode='cd', tol=1e-4,
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enet_tol=1e-4, max_iter=100, verbose=False,
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return_costs=False, eps=np.finfo(np.float64).eps,
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return_n_iter=False):
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"""l1-penalized covariance estimator
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Read more in the :ref:`User Guide <sparse_inverse_covariance>`.
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Parameters
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----------
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emp_cov : 2D ndarray, shape (n_features, n_features)
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Empirical covariance from which to compute the covariance estimate.
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alpha : positive float
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The regularization parameter: the higher alpha, the more
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regularization, the sparser the inverse covariance.
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cov_init : 2D array (n_features, n_features), optional
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The initial guess for the covariance.
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mode : {'cd', 'lars'}
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The Lasso solver to use: coordinate descent or LARS. Use LARS for
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very sparse underlying graphs, where p > n. Elsewhere prefer cd
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which is more numerically stable.
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tol : positive float, optional
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The tolerance to declare convergence: if the dual gap goes below
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this value, iterations are stopped.
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enet_tol : positive float, optional
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The tolerance for the elastic net solver used to calculate the descent
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direction. This parameter controls the accuracy of the search direction
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for a given column update, not of the overall parameter estimate. Only
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used for mode='cd'.
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max_iter : integer, optional
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The maximum number of iterations.
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verbose : boolean, optional
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If verbose is True, the objective function and dual gap are
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printed at each iteration.
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return_costs : boolean, optional
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If return_costs is True, the objective function and dual gap
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at each iteration are returned.
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eps : float, optional
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The machine-precision regularization in the computation of the
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Cholesky diagonal factors. Increase this for very ill-conditioned
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systems.
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return_n_iter : bool, optional
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Whether or not to return the number of iterations.
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Returns
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-------
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covariance : 2D ndarray, shape (n_features, n_features)
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The estimated covariance matrix.
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precision : 2D ndarray, shape (n_features, n_features)
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The estimated (sparse) precision matrix.
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costs : list of (objective, dual_gap) pairs
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The list of values of the objective function and the dual gap at
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each iteration. Returned only if return_costs is True.
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n_iter : int
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Number of iterations. Returned only if `return_n_iter` is set to True.
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See Also
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--------
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GraphLasso, GraphLassoCV
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Notes
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-----
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The algorithm employed to solve this problem is the GLasso algorithm,
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from the Friedman 2008 Biostatistics paper. It is the same algorithm
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as in the R `glasso` package.
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One possible difference with the `glasso` R package is that the
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diagonal coefficients are not penalized.
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"""
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_, n_features = emp_cov.shape
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if alpha == 0:
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if return_costs:
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precision_ = linalg.inv(emp_cov)
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cost = - 2. * log_likelihood(emp_cov, precision_)
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cost += n_features * np.log(2 * np.pi)
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d_gap = np.sum(emp_cov * precision_) - n_features
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if return_n_iter:
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return emp_cov, precision_, (cost, d_gap), 0
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else:
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return emp_cov, precision_, (cost, d_gap)
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else:
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if return_n_iter:
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return emp_cov, linalg.inv(emp_cov), 0
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else:
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return emp_cov, linalg.inv(emp_cov)
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if cov_init is None:
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covariance_ = emp_cov.copy()
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else:
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covariance_ = cov_init.copy()
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# As a trivial regularization (Tikhonov like), we scale down the
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# off-diagonal coefficients of our starting point: This is needed, as
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# in the cross-validation the cov_init can easily be
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# ill-conditioned, and the CV loop blows. Beside, this takes
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# conservative stand-point on the initial conditions, and it tends to
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# make the convergence go faster.
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covariance_ *= 0.95
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diagonal = emp_cov.flat[::n_features + 1]
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covariance_.flat[::n_features + 1] = diagonal
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precision_ = linalg.pinvh(covariance_)
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indices = np.arange(n_features)
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costs = list()
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# The different l1 regression solver have different numerical errors
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if mode == 'cd':
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errors = dict(over='raise', invalid='ignore')
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else:
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errors = dict(invalid='raise')
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try:
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# be robust to the max_iter=0 edge case, see:
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# https://github.com/scikit-learn/scikit-learn/issues/4134
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d_gap = np.inf
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for i in range(max_iter):
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for idx in range(n_features):
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sub_covariance = np.ascontiguousarray(
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covariance_[indices != idx].T[indices != idx])
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row = emp_cov[idx, indices != idx]
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with np.errstate(**errors):
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if mode == 'cd':
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# Use coordinate descent
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coefs = -(precision_[indices != idx, idx]
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/ (precision_[idx, idx] + 1000 * eps))
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coefs, _, _, _ = cd_fast.enet_coordinate_descent_gram(
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coefs, alpha, 0, sub_covariance, row, row,
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max_iter, enet_tol, check_random_state(None), False)
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else:
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# Use LARS
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_, _, coefs = lars_path(
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sub_covariance, row, Xy=row, Gram=sub_covariance,
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alpha_min=alpha / (n_features - 1), copy_Gram=True,
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eps=eps, method='lars', return_path=False)
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# Update the precision matrix
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precision_[idx, idx] = (
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1. / (covariance_[idx, idx]
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- np.dot(covariance_[indices != idx, idx], coefs)))
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precision_[indices != idx, idx] = (- precision_[idx, idx]
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* coefs)
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precision_[idx, indices != idx] = (- precision_[idx, idx]
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* coefs)
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coefs = np.dot(sub_covariance, coefs)
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covariance_[idx, indices != idx] = coefs
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covariance_[indices != idx, idx] = coefs
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d_gap = _dual_gap(emp_cov, precision_, alpha)
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cost = _objective(emp_cov, precision_, alpha)
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if verbose:
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print(
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'[graph_lasso] Iteration % 3i, cost % 3.2e, dual gap %.3e'
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% (i, cost, d_gap))
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if return_costs:
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costs.append((cost, d_gap))
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if np.abs(d_gap) < tol:
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break
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if not np.isfinite(cost) and i > 0:
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raise FloatingPointError('Non SPD result: the system is '
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'too ill-conditioned for this solver')
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else:
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warnings.warn('graph_lasso: did not converge after %i iteration:'
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' dual gap: %.3e' % (max_iter, d_gap),
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ConvergenceWarning)
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except FloatingPointError as e:
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e.args = (e.args[0]
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+ '. The system is too ill-conditioned for this solver',)
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raise e
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if return_costs:
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if return_n_iter:
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return covariance_, precision_, costs, i + 1
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else:
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return covariance_, precision_, costs
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else:
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if return_n_iter:
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return covariance_, precision_, i + 1
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else:
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return covariance_, precision_
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class GraphLasso(EmpiricalCovariance):
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"""Sparse inverse covariance estimation with an l1-penalized estimator.
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Read more in the :ref:`User Guide <sparse_inverse_covariance>`.
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Parameters
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----------
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alpha : positive float, default 0.01
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The regularization parameter: the higher alpha, the more
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regularization, the sparser the inverse covariance.
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mode : {'cd', 'lars'}, default 'cd'
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The Lasso solver to use: coordinate descent or LARS. Use LARS for
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very sparse underlying graphs, where p > n. Elsewhere prefer cd
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which is more numerically stable.
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tol : positive float, default 1e-4
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The tolerance to declare convergence: if the dual gap goes below
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this value, iterations are stopped.
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enet_tol : positive float, optional
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The tolerance for the elastic net solver used to calculate the descent
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direction. This parameter controls the accuracy of the search direction
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for a given column update, not of the overall parameter estimate. Only
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used for mode='cd'.
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max_iter : integer, default 100
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The maximum number of iterations.
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verbose : boolean, default False
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If verbose is True, the objective function and dual gap are
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plotted at each iteration.
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assume_centered : boolean, default False
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If True, data are not centered before computation.
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Useful when working with data whose mean is almost, but not exactly
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zero.
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If False, data are centered before computation.
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Attributes
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----------
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covariance_ : array-like, shape (n_features, n_features)
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Estimated covariance matrix
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precision_ : array-like, shape (n_features, n_features)
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Estimated pseudo inverse matrix.
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n_iter_ : int
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Number of iterations run.
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See Also
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--------
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graph_lasso, GraphLassoCV
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"""
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def __init__(self, alpha=.01, mode='cd', tol=1e-4, enet_tol=1e-4,
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max_iter=100, verbose=False, assume_centered=False):
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super(GraphLasso, self).__init__(assume_centered=assume_centered)
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self.alpha = alpha
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self.mode = mode
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self.tol = tol
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self.enet_tol = enet_tol
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self.max_iter = max_iter
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self.verbose = verbose
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def fit(self, X, y=None):
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"""Fits the GraphLasso model to X.
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Parameters
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----------
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X : ndarray, shape (n_samples, n_features)
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Data from which to compute the covariance estimate
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y : (ignored)
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"""
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# Covariance does not make sense for a single feature
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X = check_array(X, ensure_min_features=2, ensure_min_samples=2,
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estimator=self)
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if self.assume_centered:
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self.location_ = np.zeros(X.shape[1])
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else:
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self.location_ = X.mean(0)
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emp_cov = empirical_covariance(
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X, assume_centered=self.assume_centered)
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self.covariance_, self.precision_, self.n_iter_ = graph_lasso(
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emp_cov, alpha=self.alpha, mode=self.mode, tol=self.tol,
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enet_tol=self.enet_tol, max_iter=self.max_iter,
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verbose=self.verbose, return_n_iter=True)
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return self
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# Cross-validation with GraphLasso
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def graph_lasso_path(X, alphas, cov_init=None, X_test=None, mode='cd',
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tol=1e-4, enet_tol=1e-4, max_iter=100, verbose=False):
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"""l1-penalized covariance estimator along a path of decreasing alphas
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Read more in the :ref:`User Guide <sparse_inverse_covariance>`.
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Parameters
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----------
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X : 2D ndarray, shape (n_samples, n_features)
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Data from which to compute the covariance estimate.
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alphas : list of positive floats
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The list of regularization parameters, decreasing order.
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X_test : 2D array, shape (n_test_samples, n_features), optional
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Optional test matrix to measure generalisation error.
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mode : {'cd', 'lars'}
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The Lasso solver to use: coordinate descent or LARS. Use LARS for
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very sparse underlying graphs, where p > n. Elsewhere prefer cd
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which is more numerically stable.
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tol : positive float, optional
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The tolerance to declare convergence: if the dual gap goes below
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this value, iterations are stopped.
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enet_tol : positive float, optional
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The tolerance for the elastic net solver used to calculate the descent
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direction. This parameter controls the accuracy of the search direction
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for a given column update, not of the overall parameter estimate. Only
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used for mode='cd'.
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max_iter : integer, optional
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The maximum number of iterations.
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verbose : integer, optional
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The higher the verbosity flag, the more information is printed
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during the fitting.
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Returns
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-------
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covariances_ : List of 2D ndarray, shape (n_features, n_features)
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The estimated covariance matrices.
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precisions_ : List of 2D ndarray, shape (n_features, n_features)
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The estimated (sparse) precision matrices.
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scores_ : List of float
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The generalisation error (log-likelihood) on the test data.
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Returned only if test data is passed.
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"""
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inner_verbose = max(0, verbose - 1)
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emp_cov = empirical_covariance(X)
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if cov_init is None:
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covariance_ = emp_cov.copy()
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else:
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covariance_ = cov_init
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covariances_ = list()
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precisions_ = list()
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scores_ = list()
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if X_test is not None:
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test_emp_cov = empirical_covariance(X_test)
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for alpha in alphas:
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try:
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# Capture the errors, and move on
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covariance_, precision_ = graph_lasso(
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emp_cov, alpha=alpha, cov_init=covariance_, mode=mode, tol=tol,
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enet_tol=enet_tol, max_iter=max_iter, verbose=inner_verbose)
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covariances_.append(covariance_)
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precisions_.append(precision_)
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if X_test is not None:
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this_score = log_likelihood(test_emp_cov, precision_)
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except FloatingPointError:
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this_score = -np.inf
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covariances_.append(np.nan)
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precisions_.append(np.nan)
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if X_test is not None:
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if not np.isfinite(this_score):
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this_score = -np.inf
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scores_.append(this_score)
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if verbose == 1:
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sys.stderr.write('.')
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elif verbose > 1:
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if X_test is not None:
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print('[graph_lasso_path] alpha: %.2e, score: %.2e'
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% (alpha, this_score))
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else:
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print('[graph_lasso_path] alpha: %.2e' % alpha)
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if X_test is not None:
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return covariances_, precisions_, scores_
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return covariances_, precisions_
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class GraphLassoCV(GraphLasso):
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"""Sparse inverse covariance w/ cross-validated choice of the l1 penalty
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Read more in the :ref:`User Guide <sparse_inverse_covariance>`.
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Parameters
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----------
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alphas : integer, or list positive float, optional
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If an integer is given, it fixes the number of points on the
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grids of alpha to be used. If a list is given, it gives the
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grid to be used. See the notes in the class docstring for
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more details.
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n_refinements : strictly positive integer
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The number of times the grid is refined. Not used if explicit
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values of alphas are passed.
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cv : int, cross-validation generator or an iterable, optional
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Determines the cross-validation splitting strategy.
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Possible inputs for cv are:
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- None, to use the default 3-fold cross-validation,
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- integer, to specify the number of folds.
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- An object to be used as a cross-validation generator.
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- An iterable yielding train/test splits.
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For integer/None inputs :class:`KFold` is used.
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Refer :ref:`User Guide <cross_validation>` for the various
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cross-validation strategies that can be used here.
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tol : positive float, optional
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The tolerance to declare convergence: if the dual gap goes below
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this value, iterations are stopped.
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enet_tol : positive float, optional
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The tolerance for the elastic net solver used to calculate the descent
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direction. This parameter controls the accuracy of the search direction
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for a given column update, not of the overall parameter estimate. Only
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used for mode='cd'.
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max_iter : integer, optional
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Maximum number of iterations.
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mode : {'cd', 'lars'}
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The Lasso solver to use: coordinate descent or LARS. Use LARS for
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very sparse underlying graphs, where number of features is greater
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than number of samples. Elsewhere prefer cd which is more numerically
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stable.
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n_jobs : int, optional
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number of jobs to run in parallel (default 1).
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verbose : boolean, optional
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If verbose is True, the objective function and duality gap are
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printed at each iteration.
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assume_centered : Boolean
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If True, data are not centered before computation.
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Useful when working with data whose mean is almost, but not exactly
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zero.
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If False, data are centered before computation.
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Attributes
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----------
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covariance_ : numpy.ndarray, shape (n_features, n_features)
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Estimated covariance matrix.
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precision_ : numpy.ndarray, shape (n_features, n_features)
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Estimated precision matrix (inverse covariance).
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alpha_ : float
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Penalization parameter selected.
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|
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cv_alphas_ : list of float
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All penalization parameters explored.
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grid_scores_ : 2D numpy.ndarray (n_alphas, n_folds)
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Log-likelihood score on left-out data across folds.
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n_iter_ : int
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Number of iterations run for the optimal alpha.
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See Also
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--------
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graph_lasso, GraphLasso
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Notes
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-----
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The search for the optimal penalization parameter (alpha) is done on an
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iteratively refined grid: first the cross-validated scores on a grid are
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computed, then a new refined grid is centered around the maximum, and so
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on.
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One of the challenges which is faced here is that the solvers can
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fail to converge to a well-conditioned estimate. The corresponding
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values of alpha then come out as missing values, but the optimum may
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be close to these missing values.
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"""
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def __init__(self, alphas=4, n_refinements=4, cv=None, tol=1e-4,
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enet_tol=1e-4, max_iter=100, mode='cd', n_jobs=1,
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verbose=False, assume_centered=False):
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super(GraphLassoCV, self).__init__(
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mode=mode, tol=tol, verbose=verbose, enet_tol=enet_tol,
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max_iter=max_iter, assume_centered=assume_centered)
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self.alphas = alphas
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self.n_refinements = n_refinements
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self.cv = cv
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self.n_jobs = n_jobs
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|
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|
@property
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@deprecated("Attribute grid_scores was deprecated in version 0.19 and "
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|
"will be removed in 0.21. Use ``grid_scores_`` instead")
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|
def grid_scores(self):
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return self.grid_scores_
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def fit(self, X, y=None):
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"""Fits the GraphLasso covariance model to X.
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|
|
|
Parameters
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|
----------
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X : ndarray, shape (n_samples, n_features)
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|
Data from which to compute the covariance estimate
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|
y : (ignored)
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|
"""
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|
# Covariance does not make sense for a single feature
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X = check_array(X, ensure_min_features=2, estimator=self)
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if self.assume_centered:
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self.location_ = np.zeros(X.shape[1])
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|
else:
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|
self.location_ = X.mean(0)
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emp_cov = empirical_covariance(
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X, assume_centered=self.assume_centered)
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|
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cv = check_cv(self.cv, y, classifier=False)
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|
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|
# List of (alpha, scores, covs)
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|
path = list()
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|
n_alphas = self.alphas
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|
inner_verbose = max(0, self.verbose - 1)
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|
|
|
if isinstance(n_alphas, Sequence):
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|
alphas = self.alphas
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|
n_refinements = 1
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|
else:
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|
n_refinements = self.n_refinements
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|
alpha_1 = alpha_max(emp_cov)
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|
alpha_0 = 1e-2 * alpha_1
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|
alphas = np.logspace(np.log10(alpha_0), np.log10(alpha_1),
|
|
n_alphas)[::-1]
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|
|
|
t0 = time.time()
|
|
for i in range(n_refinements):
|
|
with warnings.catch_warnings():
|
|
# No need to see the convergence warnings on this grid:
|
|
# they will always be points that will not converge
|
|
# during the cross-validation
|
|
warnings.simplefilter('ignore', ConvergenceWarning)
|
|
# Compute the cross-validated loss on the current grid
|
|
|
|
# NOTE: Warm-restarting graph_lasso_path has been tried, and
|
|
# this did not allow to gain anything (same execution time with
|
|
# or without).
|
|
this_path = Parallel(
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|
n_jobs=self.n_jobs,
|
|
verbose=self.verbose
|
|
)(delayed(graph_lasso_path)(X[train], alphas=alphas,
|
|
X_test=X[test], mode=self.mode,
|
|
tol=self.tol,
|
|
enet_tol=self.enet_tol,
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|
max_iter=int(.1 * self.max_iter),
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|
verbose=inner_verbose)
|
|
for train, test in cv.split(X, y))
|
|
|
|
# Little danse to transform the list in what we need
|
|
covs, _, scores = zip(*this_path)
|
|
covs = zip(*covs)
|
|
scores = zip(*scores)
|
|
path.extend(zip(alphas, scores, covs))
|
|
path = sorted(path, key=operator.itemgetter(0), reverse=True)
|
|
|
|
# Find the maximum (avoid using built in 'max' function to
|
|
# have a fully-reproducible selection of the smallest alpha
|
|
# in case of equality)
|
|
best_score = -np.inf
|
|
last_finite_idx = 0
|
|
for index, (alpha, scores, _) in enumerate(path):
|
|
this_score = np.mean(scores)
|
|
if this_score >= .1 / np.finfo(np.float64).eps:
|
|
this_score = np.nan
|
|
if np.isfinite(this_score):
|
|
last_finite_idx = index
|
|
if this_score >= best_score:
|
|
best_score = this_score
|
|
best_index = index
|
|
|
|
# Refine the grid
|
|
if best_index == 0:
|
|
# We do not need to go back: we have chosen
|
|
# the highest value of alpha for which there are
|
|
# non-zero coefficients
|
|
alpha_1 = path[0][0]
|
|
alpha_0 = path[1][0]
|
|
elif (best_index == last_finite_idx
|
|
and not best_index == len(path) - 1):
|
|
# We have non-converged models on the upper bound of the
|
|
# grid, we need to refine the grid there
|
|
alpha_1 = path[best_index][0]
|
|
alpha_0 = path[best_index + 1][0]
|
|
elif best_index == len(path) - 1:
|
|
alpha_1 = path[best_index][0]
|
|
alpha_0 = 0.01 * path[best_index][0]
|
|
else:
|
|
alpha_1 = path[best_index - 1][0]
|
|
alpha_0 = path[best_index + 1][0]
|
|
|
|
if not isinstance(n_alphas, Sequence):
|
|
alphas = np.logspace(np.log10(alpha_1), np.log10(alpha_0),
|
|
n_alphas + 2)
|
|
alphas = alphas[1:-1]
|
|
|
|
if self.verbose and n_refinements > 1:
|
|
print('[GraphLassoCV] Done refinement % 2i out of %i: % 3is'
|
|
% (i + 1, n_refinements, time.time() - t0))
|
|
|
|
path = list(zip(*path))
|
|
grid_scores = list(path[1])
|
|
alphas = list(path[0])
|
|
# Finally, compute the score with alpha = 0
|
|
alphas.append(0)
|
|
grid_scores.append(cross_val_score(EmpiricalCovariance(), X,
|
|
cv=cv, n_jobs=self.n_jobs,
|
|
verbose=inner_verbose))
|
|
self.grid_scores_ = np.array(grid_scores)
|
|
best_alpha = alphas[best_index]
|
|
self.alpha_ = best_alpha
|
|
self.cv_alphas_ = alphas
|
|
|
|
# Finally fit the model with the selected alpha
|
|
self.covariance_, self.precision_, self.n_iter_ = graph_lasso(
|
|
emp_cov, alpha=best_alpha, mode=self.mode, tol=self.tol,
|
|
enet_tol=self.enet_tol, max_iter=self.max_iter,
|
|
verbose=inner_verbose, return_n_iter=True)
|
|
return self
|