DOC - Add examples for ElasticNet

examples/plot_enet_use_case.py

@@ -0,0 +1,153 @@
+"""
+===============================================================
+ElasticNet vs. Lasso: Illustration of ElasticNet use case
+===============================================================
+
+The Lasso estimator is useful in features selection thanks
+to its ability to produce sparse solutions. However,
+the latter becomes ineffective when it comes to high dimensional
+datasets as the support of the produced solution is limited
+by the number of samples.
+
+The ElasticNet estimator extend the feature selection property
+of Lasso estimator by producing sparse solutions regardless
+of the number of samples.
+
+Below is an example that illustrates that.
+"""
+from celer import ElasticNet, Lasso
+
+import numpy as np
+from numpy.linalg import norm
+from scipy.linalg import block_diag
+
+import matplotlib.pyplot as plt
+
+
+###############################################################################
+# Create function to generate group-correlated data
+
+def make_group_correlated_data(n_samples, n_features, n_groups, corr, snr,
+                               random_state):
+    if random_state is not None:
+        np.random.seed(random_state)
+
+    n_features_group = n_features // n_groups
+
+    # build corr matrix
+    blocs_corr_matrix = []
+    for _ in range(n_groups):
+        bloc_matrix = np.array([[corr]*i + [1] + [corr]*(n_features_group-i-1)
+                                for i in range(n_features_group)], dtype=float)
+        blocs_corr_matrix.append(bloc_matrix)
+
+    corr_matrix = block_diag(*blocs_corr_matrix)
+
+    # weight vector
+    w_group = np.random.choice(2, n_groups)
+    w_true = np.repeat(w_group, n_features_group)
+
+    # build X, y
+    mean_vec = np.zeros(n_features)
+    X = np.random.multivariate_normal(mean_vec, corr_matrix, size=n_samples)
+    y = X @ w_true
+
+    if snr != np.inf:
+        noise = np.random.randn(n_samples)
+        y += noise / norm(noise) * norm(y) / snr
+
+    return X, y, w_true
+
+
+###############################################################################
+#
+
+random_state = 42
+data_params = {'n_groups': 10, 'corr': 0.8, 'snr': 2, 'random_state': random_state}
+
+n_samples, n_features = 1000, 100
+X, y, w_true = make_group_correlated_data(n_samples, n_features, **data_params)
+alpha_max = norm(X.T@y, ord=np.inf) / n_samples
+alpha = alpha_max / 10.
+
+# init/fit ElasticNet and Lasso
+l1_ratio = 0.85
+enet = ElasticNet(l1_ratio=l1_ratio, alpha=alpha)
+enet.fit(X, y)
+
+lasso = Lasso(alpha=alpha)
+lasso.fit(X, y)
+
+
+###############################################################################
+# Case 1: number of samples is much larger than number of features. In this
+# setup, both estimators should produce similar results.
+
+models = (('ElasticNet', enet), ('Lasso', lasso))
+fig, axs = plt.subplots(len(models), 1)
+
+for i, (model_name, model) in enumerate(models):
+    # true coefs
+    axs[i].stem(np.where(w_true)[0], w_true[w_true != 0], linefmt='g',
+                label=r"true regression coefficients", markerfmt='go')
+    # model coefs
+    w = model.coef_
+    axs[i].stem(np.where(w)[0], w[w != 0], linefmt='r', label=model_name,
+                markerfmt='rx')
+
+    axs[i].set_ylabel("%s coefs" % model_name)
+
+
+axs[-1].set_xlabel("feature index")
+fig.suptitle(
+    r"Comparison between true (green) and estimated coefficients (case: n > p)")
+
+print(
+    f"Support size of Lasso: {len((lasso.coef_[lasso.coef_ != 0]))}\n"
+    f"Support size of ElasticNet: {len(enet.coef_[enet.coef_ != 0])}"
+)
+
+plt.show()
+
+###############################################################################
+# Case 2: number of features is much larger than number of samples. In this
+# setup, Lasso should fail to perform a good feature selection.
+
+n_samples, n_features = 500, 1000
+X, y, w_true = make_group_correlated_data(n_samples, n_features, **data_params)
+alpha_max = norm(X.T@y, ord=np.inf) / n_samples
+alpha = alpha_max / 10.
+
+l1_ratio = 0.85
+enet = ElasticNet(l1_ratio=l1_ratio, alpha=alpha)
+enet.fit(X, y)
+
+lasso = Lasso(alpha=alpha)
+lasso.fit(X, y)
+
+# plot results
+models = (('ElasticNet', enet), ('Lasso', lasso))
+fig, axs = plt.subplots(len(models), 1)
+
+for i, (model_name, model) in enumerate(models):
+    # true coefs
+    axs[i].stem(np.where(w_true)[0], w_true[w_true != 0], linefmt='g',
+                label=r"true regression coefficients", markerfmt='go')
+    # model coefs
+    w = model.coef_
+    axs[i].stem(np.where(w)[0], w[w != 0], linefmt='r', label=model_name,
+                markerfmt='rx')
+
+    axs[i].set_ylabel("%s coefs" % model_name)
+
+
+axs[-1].set_xlabel("feature index")
+fig.suptitle(
+    r"Comparison between true (green) and estimated coefficients (case: n < p)")
+
+print(
+    f"Support size of Lasso: {len((lasso.coef_[lasso.coef_ != 0]))}\n"
+    f"Support size of ElasticNet: {len(enet.coef_[enet.coef_ != 0])}"
+)
+
+plt.show()