mlregression 0.1.1

Machine learning regression off-the-shelf

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+

Installation

Before calling pip install mlregression, we recommend using conda to install the dependencies. In our experience, calling the following command works like a charm:

conda install -c conda-forge pandas">=1.3" numpy">=1.19" scikit-learn">=1" scikit-learn-intelex">=2021.3" daal">=2021.3" daal4py">=2021.3" tbb">=2021.4" xgboost">=1.3" lightgbm">=3.2" --force-reinstall

After this, install mlregression by calling pip install mlregression.

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)