Machine learning regression off-the-shelf
Project description
Machine learning regression (mlregression)
Machine Learning Regression (mlregrresion) is an off-the-shelf implementation of the most popular ML methods that automatically takes care of fitting and parameter tuning.
Currently, the fully implemented models include:
- Ensemble trees (Random forests, XGBoost, LightGBM, GradientBoostingRegressor, ExtraTreesRegressor)
- Penalized regression (Ridge, Lasso, ElasticNet, Lars, LassoLars)
- Neural nets (Simple neural nets with 1-5 hidden layers, rely activation, and early stopping)
NB! When using penalized regressions, consider using the native CV-implementation from scikit-learn for speed. See Example 6 below.
In addition, all scikit-learn regressors can be supplied (e.g., LinearRegression, HuberRegressor, or BayesianRidge), but then one has to provide a parameter grid as well!
Please contact the authors below if you find any bugs or have any suggestions for improvement. Thank you!
Author: Nicolaj Søndergaard Mühlbach (n.muhlbach at gmail dot com, muhlbach at mit dot edu)
Code dependencies
This code has the following dependencies:
- Python 3.6+
- numpy 1.19+
- pandas 1.3+
- scikit-learn 1+
- scikit-learn-intelex 2021+
- xgboost 1.3+
- lightgbm 3.2+
Usage
We demonstrate the use of mlregression below, using random forests, xgboost, and lightGBM as underlying regressors.
#------------------------------------------------------------------------------
# Libraries
#------------------------------------------------------------------------------
# Standard
from sklearn.datasets import make_regression
from sklearn.model_selection import train_test_split
# This library
from mlregression.mlreg import MLRegressor
from mlregression.mlreg import RF
from mlregression.estimator.boosting import XGBRegressor, LGBMegressor
#------------------------------------------------------------------------------
# Data
#------------------------------------------------------------------------------
# Generate data
X, y = make_regression(n_samples=500,
n_features=10,
n_informative=5,
n_targets=1,
bias=0.0,
coef=False,
random_state=1991)
X_train, X_test, y_train, y_test = train_test_split(X, y)
#------------------------------------------------------------------------------
# Example 1: Main use of MLRegressor
#------------------------------------------------------------------------------
# Instantiate model and specify the underlying regressor by a string
mlreg = MLRegressor(estimator="RandomForestRegressor",
max_n_models=2)
# Fit
mlreg.fit(X=X_train, y=y_train)
# Predict
y_hat = mlreg.predict(X=X_test)
# Access all the usual attributes
mlreg.best_score_
mlreg.best_estimator_
# Compute the score
mlreg.score(X=X_test,y=y_test)
#------------------------------------------------------------------------------
# Example 2: Linear regression
#------------------------------------------------------------------------------
# Instantiate model
ols = MLRegressor(estimator="LinearRegression")
# Fit
ols.fit(X=X_train, y=y_train)
# Predict and score
ols.score(X=X_test, y=y_test)
#------------------------------------------------------------------------------
# Example 3: XGBoost
#------------------------------------------------------------------------------
# Instantiate model
xgb = MLRegressor(estimator="XGBRegressor",
max_n_models=2)
# Fit
xgb.fit(X=X_train, y=y_train)
# Predict and score
xgb.score(X=X_test, y=y_test)
#------------------------------------------------------------------------------
# Example 4: LightGBM
#------------------------------------------------------------------------------
# Instantiate model
lgbm = MLRegressor(estimator="LGBMegressor",
max_n_models=2)
# Fit
lgbm.fit(X=X_train, y=y_train)
# Predict and score
lgbm.score(X=X_test, y=y_test)
#------------------------------------------------------------------------------
# Example 5: Neural Nets
#------------------------------------------------------------------------------
# Instantiate model
nn = MLRegressor(estimator="MLPRegressor",
max_n_models=2)
# Fit
nn.fit(X=X_train, y=y_train)
# Predict and score
nn.score(X=X_test, y=y_test)
#------------------------------------------------------------------------------
# Example 6: LassoCV/RidgeCV/ElasticNetCV (native scikit-learn implementation)
#------------------------------------------------------------------------------
# Instantiate model
penalized = MLRegressor(estimator="LassoCV")
# Fit
penalized.fit(X=X_train, y=y_train)
# Predict and score
penalized.score(X=X_test, y=y_test)
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