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Add optional fit_args parameter to D_LassoCV and MTLassoMixed #50

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Merged
jdthorpe merged 1 commit into from
Mar 26, 2024
+8 −7
Merged

Add optional fit_args parameter to D_LassoCV and MTLassoMixed #50

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15 changes: 8 additions & 7 deletions src/SparseSC/utils/match_space.py
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Original file line number Diff line number Diff line change
Expand Up @@ -204,7 +204,7 @@ def _MTLasso_MatchSpace(
transformer = SelMatchSpace(m_sel)
return transformer, V[m_sel], v_pen, (V, varselectorfit)

def D_LassoCV_MatchSpace_factory(v_pens=None, n_v_cv=5, sample_frac=1, y_V_share=0.5):
def D_LassoCV_MatchSpace_factory(v_pens=None, n_v_cv=5, sample_frac=1, y_V_share=0.5, fit_args={}):
"""
Return a MatchSpace function that will fit a MultiTaskLassoCV for Y ~ X and Lasso of D_full ~ X_full
and then combines the coefficients into weights using y_V_share
Expand All @@ -224,14 +224,15 @@ def _D_LassoCV_MatchSpace_wrapper(X, Y, **kwargs):
n_v_cv=n_v_cv,
sample_frac=sample_frac,
y_V_share=y_V_share,
fit_args=fit_args,
**kwargs
)

return _D_LassoCV_MatchSpace_wrapper


def _D_LassoCV_MatchSpace(
X, Y, X_full, D_full, v_pens=None, n_v_cv=5, sample_frac=1, y_V_share=0.5, **kwargs
X, Y, X_full, D_full, v_pens=None, n_v_cv=5, sample_frac=1, y_V_share=0.5, fit_args={}, **kwargs
): # pylint: disable=missing-param-doc, unused-argument
if sample_frac < 1:
N_y = X.shape[0]
Expand All @@ -242,7 +243,7 @@ def _D_LassoCV_MatchSpace(
sample_d = np.random.choice(N_d, int(sample_frac * N_d), replace=False)
X_full = X_full[sample_d, :]
D_full = D_full[sample_d]
y_varselectorfit = MultiTaskLassoCV(normalize=True, cv=n_v_cv, alphas=v_pens).fit(
y_varselectorfit = MultiTaskLassoCV(normalize=True, cv=n_v_cv, alphas=v_pens, **fit_args).fit(
X, Y
)
y_V = np.sqrt(
Expand Down Expand Up @@ -465,7 +466,7 @@ def transform(self, X):
return M


def MTLassoMixed_MatchSpace_factory(v_pens=None, n_v_cv=5):
def MTLassoMixed_MatchSpace_factory(v_pens=None, n_v_cv=5, fit_args={}):
"""
Return a MatchSpace function that will fit a MultiTaskLassoCV for Y ~ X with the penalization optimized to reduce errors on goal units
Expand All @@ -476,17 +477,17 @@ def MTLassoMixed_MatchSpace_factory(v_pens=None, n_v_cv=5):

def _MTLassoMixed_MatchSpace_wrapper(X, Y, fit_model_wrapper, **kwargs):
return _MTLassoMixed_MatchSpace(
X, Y, fit_model_wrapper, v_pens=v_pens, n_v_cv=n_v_cv, **kwargs
X, Y, fit_model_wrapper, v_pens=v_pens, n_v_cv=n_v_cv, fit_args=fit_args, **kwargs
)

return _MTLassoMixed_MatchSpace_wrapper


def _MTLassoMixed_MatchSpace(
X, Y, fit_model_wrapper, v_pens=None, n_v_cv=5, **kwargs
X, Y, fit_model_wrapper, v_pens=None, n_v_cv=5, fit_args={}, **kwargs
): # pylint: disable=missing-param-doc, unused-argument
# Note that MultiTaskLasso(CV).path with the same alpha doesn't produce same results as MultiTaskLasso(CV)
mtlasso_cv_fit = MultiTaskLassoCV(normalize=True, cv=n_v_cv, alphas=v_pens).fit(
mtlasso_cv_fit = MultiTaskLassoCV(normalize=True, cv=n_v_cv, alphas=v_pens, **fit_args).fit(
X, Y
)
# V_cv = np.sqrt(np.sum(np.square(mtlasso_cv_fit.coef_), axis=0)) #n_tasks x n_features -> n_feature
Expand Down