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_quantile.py
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_quantile.py
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# Authors: David Dale <dale.david@mail.ru>
# Christian Lorentzen <lorentzen.ch@gmail.com>
# License: BSD 3 clause
import warnings
from numbers import Real
import numpy as np
from scipy import sparse
from scipy.optimize import linprog
from ..base import BaseEstimator, RegressorMixin, _fit_context
from ..exceptions import ConvergenceWarning
from ..utils import _safe_indexing
from ..utils._param_validation import Hidden, Interval, StrOptions
from ..utils.fixes import parse_version, sp_version
from ..utils.validation import _check_sample_weight
from ._base import LinearModel
class QuantileRegressor(LinearModel, RegressorMixin, BaseEstimator):
"""Linear regression model that predicts conditional quantiles.
The linear :class:`QuantileRegressor` optimizes the pinball loss for a
desired `quantile` and is robust to outliers.
This model uses an L1 regularization like
:class:`~sklearn.linear_model.Lasso`.
Read more in the :ref:`User Guide <quantile_regression>`.
.. versionadded:: 1.0
Parameters
----------
quantile : float, default=0.5
The quantile that the model tries to predict. It must be strictly
between 0 and 1. If 0.5 (default), the model predicts the 50%
quantile, i.e. the median.
alpha : float, default=1.0
Regularization constant that multiplies the L1 penalty term.
fit_intercept : bool, default=True
Whether or not to fit the intercept.
solver : {'highs-ds', 'highs-ipm', 'highs', 'interior-point', \
'revised simplex'}, default='interior-point'
Method used by :func:`scipy.optimize.linprog` to solve the linear
programming formulation.
From `scipy>=1.6.0`, it is recommended to use the highs methods because
they are the fastest ones. Solvers "highs-ds", "highs-ipm" and "highs"
support sparse input data and, in fact, always convert to sparse csc.
From `scipy>=1.11.0`, "interior-point" is not available anymore.
.. versionchanged:: 1.4
The default of `solver` will change to `"highs"` in version 1.4.
solver_options : dict, default=None
Additional parameters passed to :func:`scipy.optimize.linprog` as
options. If `None` and if `solver='interior-point'`, then
`{"lstsq": True}` is passed to :func:`scipy.optimize.linprog` for the
sake of stability.
Attributes
----------
coef_ : array of shape (n_features,)
Estimated coefficients for the features.
intercept_ : float
The intercept of the model, aka bias term.
n_features_in_ : int
Number of features seen during :term:`fit`.
.. versionadded:: 0.24
feature_names_in_ : ndarray of shape (`n_features_in_`,)
Names of features seen during :term:`fit`. Defined only when `X`
has feature names that are all strings.
.. versionadded:: 1.0
n_iter_ : int
The actual number of iterations performed by the solver.
See Also
--------
Lasso : The Lasso is a linear model that estimates sparse coefficients
with l1 regularization.
HuberRegressor : Linear regression model that is robust to outliers.
Examples
--------
>>> from sklearn.linear_model import QuantileRegressor
>>> import numpy as np
>>> n_samples, n_features = 10, 2
>>> rng = np.random.RandomState(0)
>>> y = rng.randn(n_samples)
>>> X = rng.randn(n_samples, n_features)
>>> # the two following lines are optional in practice
>>> from sklearn.utils.fixes import sp_version, parse_version
>>> solver = "highs" if sp_version >= parse_version("1.6.0") else "interior-point"
>>> reg = QuantileRegressor(quantile=0.8, solver=solver).fit(X, y)
>>> np.mean(y <= reg.predict(X))
0.8
"""
_parameter_constraints: dict = {
"quantile": [Interval(Real, 0, 1, closed="neither")],
"alpha": [Interval(Real, 0, None, closed="left")],
"fit_intercept": ["boolean"],
"solver": [
StrOptions(
{
"highs-ds",
"highs-ipm",
"highs",
"interior-point",
"revised simplex",
}
),
Hidden(StrOptions({"warn"})),
],
"solver_options": [dict, None],
}
def __init__(
self,
*,
quantile=0.5,
alpha=1.0,
fit_intercept=True,
solver="warn",
solver_options=None,
):
self.quantile = quantile
self.alpha = alpha
self.fit_intercept = fit_intercept
self.solver = solver
self.solver_options = solver_options
@_fit_context(prefer_skip_nested_validation=True)
def fit(self, X, y, sample_weight=None):
"""Fit the model according to the given training data.
Parameters
----------
X : {array-like, sparse matrix} of shape (n_samples, n_features)
Training data.
y : array-like of shape (n_samples,)
Target values.
sample_weight : array-like of shape (n_samples,), default=None
Sample weights.
Returns
-------
self : object
Returns self.
"""
X, y = self._validate_data(
X,
y,
accept_sparse=["csc", "csr", "coo"],
y_numeric=True,
multi_output=False,
)
sample_weight = _check_sample_weight(sample_weight, X)
n_features = X.shape[1]
n_params = n_features
if self.fit_intercept:
n_params += 1
# Note that centering y and X with _preprocess_data does not work
# for quantile regression.
# The objective is defined as 1/n * sum(pinball loss) + alpha * L1.
# So we rescale the penalty term, which is equivalent.
alpha = np.sum(sample_weight) * self.alpha
if self.solver == "warn":
warnings.warn(
(
"The default solver will change from 'interior-point' to 'highs' in"
" version 1.4. Set `solver='highs'` or to the desired solver to"
" silence this warning."
),
FutureWarning,
)
solver = "interior-point"
elif self.solver in (
"highs-ds",
"highs-ipm",
"highs",
) and sp_version < parse_version("1.6.0"):
raise ValueError(
f"Solver {self.solver} is only available "
f"with scipy>=1.6.0, got {sp_version}"
)
else:
solver = self.solver
if solver == "interior-point" and sp_version >= parse_version("1.11.0"):
raise ValueError(
f"Solver {solver} is not anymore available in SciPy >= 1.11.0."
)
if sparse.issparse(X) and solver not in ["highs", "highs-ds", "highs-ipm"]:
raise ValueError(
f"Solver {self.solver} does not support sparse X. "
"Use solver 'highs' for example."
)
# make default solver more stable
if self.solver_options is None and solver == "interior-point":
solver_options = {"lstsq": True}
else:
solver_options = self.solver_options
# After rescaling alpha, the minimization problem is
# min sum(pinball loss) + alpha * L1
# Use linear programming formulation of quantile regression
# min_x c x
# A_eq x = b_eq
# 0 <= x
# x = (s0, s, t0, t, u, v) = slack variables >= 0
# intercept = s0 - t0
# coef = s - t
# c = (0, alpha * 1_p, 0, alpha * 1_p, quantile * 1_n, (1-quantile) * 1_n)
# residual = y - X@coef - intercept = u - v
# A_eq = (1_n, X, -1_n, -X, diag(1_n), -diag(1_n))
# b_eq = y
# p = n_features
# n = n_samples
# 1_n = vector of length n with entries equal one
# see https://stats.stackexchange.com/questions/384909/
#
# Filtering out zero sample weights from the beginning makes life
# easier for the linprog solver.
indices = np.nonzero(sample_weight)[0]
n_indices = len(indices) # use n_mask instead of n_samples
if n_indices < len(sample_weight):
sample_weight = sample_weight[indices]
X = _safe_indexing(X, indices)
y = _safe_indexing(y, indices)
c = np.concatenate(
[
np.full(2 * n_params, fill_value=alpha),
sample_weight * self.quantile,
sample_weight * (1 - self.quantile),
]
)
if self.fit_intercept:
# do not penalize the intercept
c[0] = 0
c[n_params] = 0
if solver in ["highs", "highs-ds", "highs-ipm"]:
# Note that highs methods always use a sparse CSC memory layout internally,
# even for optimization problems parametrized using dense numpy arrays.
# Therefore, we work with CSC matrices as early as possible to limit
# unnecessary repeated memory copies.
eye = sparse.eye(n_indices, dtype=X.dtype, format="csc")
if self.fit_intercept:
ones = sparse.csc_matrix(np.ones(shape=(n_indices, 1), dtype=X.dtype))
A_eq = sparse.hstack([ones, X, -ones, -X, eye, -eye], format="csc")
else:
A_eq = sparse.hstack([X, -X, eye, -eye], format="csc")
else:
eye = np.eye(n_indices)
if self.fit_intercept:
ones = np.ones((n_indices, 1))
A_eq = np.concatenate([ones, X, -ones, -X, eye, -eye], axis=1)
else:
A_eq = np.concatenate([X, -X, eye, -eye], axis=1)
b_eq = y
result = linprog(
c=c,
A_eq=A_eq,
b_eq=b_eq,
method=solver,
options=solver_options,
)
solution = result.x
if not result.success:
failure = {
1: "Iteration limit reached.",
2: "Problem appears to be infeasible.",
3: "Problem appears to be unbounded.",
4: "Numerical difficulties encountered.",
}
warnings.warn(
"Linear programming for QuantileRegressor did not succeed.\n"
f"Status is {result.status}: "
+ failure.setdefault(result.status, "unknown reason")
+ "\n"
+ "Result message of linprog:\n"
+ result.message,
ConvergenceWarning,
)
# positive slack - negative slack
# solution is an array with (params_pos, params_neg, u, v)
params = solution[:n_params] - solution[n_params : 2 * n_params]
self.n_iter_ = result.nit
if self.fit_intercept:
self.coef_ = params[1:]
self.intercept_ = params[0]
else:
self.coef_ = params
self.intercept_ = 0.0
return self