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Lasso and Elastic Net#

Lasso and elastic net (L1 and L2 penalisation) implemented using a coordinate descent.

The coefficients can be forced to be positive.

Computing regularization path using the lasso...
Computing regularization path using the positive lasso...
Computing regularization path using the elastic net...
Computing regularization path using the positive elastic net...

# Author: Alexandre Gramfort <alexandre.gramfort@inria.fr>
# License: BSD 3 clause

from itertools import cycle

import matplotlib.pyplot as plt
import numpy as np

from sklearn import datasets
from sklearn.linear_model import enet_path, lasso_path

X, y = datasets.load_diabetes(return_X_y=True)


X /= X.std(axis=0)  # Standardize data (easier to set the l1_ratio parameter)

# Compute paths

eps = 5e-3  # the smaller it is the longer is the path

print("Computing regularization path using the lasso...")
alphas_lasso, coefs_lasso, _ = lasso_path(X, y, eps=eps)

print("Computing regularization path using the positive lasso...")
alphas_positive_lasso, coefs_positive_lasso, _ = lasso_path(
    X, y, eps=eps, positive=True
)
print("Computing regularization path using the elastic net...")
alphas_enet, coefs_enet, _ = enet_path(X, y, eps=eps, l1_ratio=0.8)

print("Computing regularization path using the positive elastic net...")
alphas_positive_enet, coefs_positive_enet, _ = enet_path(
    X, y, eps=eps, l1_ratio=0.8, positive=True
)

# Display results

plt.figure(1)
colors = cycle(["b", "r", "g", "c", "k"])
neg_log_alphas_lasso = -np.log10(alphas_lasso)
neg_log_alphas_enet = -np.log10(alphas_enet)
for coef_l, coef_e, c in zip(coefs_lasso, coefs_enet, colors):
    l1 = plt.plot(neg_log_alphas_lasso, coef_l, c=c)
    l2 = plt.plot(neg_log_alphas_enet, coef_e, linestyle="--", c=c)

plt.xlabel("-Log(alpha)")
plt.ylabel("coefficients")
plt.title("Lasso and Elastic-Net Paths")
plt.legend((l1[-1], l2[-1]), ("Lasso", "Elastic-Net"), loc="lower left")
plt.axis("tight")


plt.figure(2)
neg_log_alphas_positive_lasso = -np.log10(alphas_positive_lasso)
for coef_l, coef_pl, c in zip(coefs_lasso, coefs_positive_lasso, colors):
    l1 = plt.plot(neg_log_alphas_lasso, coef_l, c=c)
    l2 = plt.plot(neg_log_alphas_positive_lasso, coef_pl, linestyle="--", c=c)

plt.xlabel("-Log(alpha)")
plt.ylabel("coefficients")
plt.title("Lasso and positive Lasso")
plt.legend((l1[-1], l2[-1]), ("Lasso", "positive Lasso"), loc="lower left")
plt.axis("tight")


plt.figure(3)
neg_log_alphas_positive_enet = -np.log10(alphas_positive_enet)
for coef_e, coef_pe, c in zip(coefs_enet, coefs_positive_enet, colors):
    l1 = plt.plot(neg_log_alphas_enet, coef_e, c=c)
    l2 = plt.plot(neg_log_alphas_positive_enet, coef_pe, linestyle="--", c=c)

plt.xlabel("-Log(alpha)")
plt.ylabel("coefficients")
plt.title("Elastic-Net and positive Elastic-Net")
plt.legend((l1[-1], l2[-1]), ("Elastic-Net", "positive Elastic-Net"), loc="lower left")
plt.axis("tight")
plt.show()