回归算法实例二：线性回归、Lasso回归、Ridge回归、ElasticNet的多项式过拟合比较

import numpy as np
import matplotlib as mpl
import matplotlib.pyplot as plt
import pandas as pd
import warnings
import sklearn
from sklearn.linear_model import LinearRegression, LassoCV, RidgeCV, ElasticNetCV
from sklearn.preprocessing import PolynomialFeatures		# 数据预处理，标准化
from sklearn.pipeline import Pipeline
from sklearn.linear_model.coordinate_descent import ConvergenceWarning

# 设置字符集，防止中文乱码
mpl.rcParams['font.sans-serif']=[u'simHei']
mpl.rcParams['axes.unicode_minus']=False
# 拦截异常
warnings.filterwarnings(action = 'ignore', category=ConvergenceWarning)

# 创建模拟数据
np.random.seed(100)
# 显示方式设置，每行的字符数用于插入换行符，是否使用科学计数法
np.set_printoptions(linewidth=1000, suppress=True)
N = 10
x = np.linspace(0, 6, N) + np.random.randn(N)
y = 1.8*x**3 + x**2 - 14*x - 7 + np.random.randn(N)
# 将其设置为矩阵
x.shape = -1, 1
y.shape = -1, 1

# RidgeCV和Ridge的区别是：前者可以进行交叉验证
models = [
    Pipeline([
            ('Poly', PolynomialFeatures(include_bias=False)),
            ('Linear', LinearRegression(fit_intercept=False))
        ]),
    Pipeline([
            ('Poly', PolynomialFeatures(include_bias=False)),
            ('Linear', RidgeCV(alphas=np.logspace(-3,2,50), fit_intercept=False))
        ]),
    Pipeline([
            ('Poly', PolynomialFeatures(include_bias=False)),
            ('Linear', LassoCV(alphas=np.logspace(0,1,10), fit_intercept=False))
        ]),
    Pipeline([
            ('Poly', PolynomialFeatures(include_bias=False)),
            ('Linear', ElasticNetCV(alphas=np.logspace(0,1,10), l1_ratio=[.1, .5, .7, .9, .95, 1], fit_intercept=False))
        ])
]

# 线性模型过拟合图形识别
plt.figure(facecolor='w')
degree = np.arange(1,N,4) # 阶
dm = degree.size
# 颜色
colors = []
for c in np.linspace(16711680, 255, dm):
    colors.append('#%06x' % int(c))

model = models[0]
for i,d in enumerate(degree):
    plt.subplot(int(np.ceil(dm/2.0)),2,i+1)
    plt.plot(x, y, 'ro', ms=10, zorder=N)

    # 设置阶数
    model.set_params(Poly__degree=d)
    # 模型训练
    model.fit(x, y.ravel())
    
    lin = model.get_params('Linear')['Linear']
    output = u'%d阶，系数为：' % (d)
    print (output, lin.coef_.ravel())
    
    # 产生模拟数据
    x_hat = np.linspace(x.min(), x.max(), num=100)
    x_hat.shape = -1,1
    y_hat = model.predict(x_hat)
    s = model.score(x, y)
    
    z = N - 1 if (d == 2) else 0
    label = u'%d阶, 正确率=%.3f' % (d,s)
    plt.plot(x_hat, y_hat, color=colors[i], lw=2, alpha=0.75, label=label, zorder=z)
    
    plt.legend(loc = 'upper left')
    plt.grid(True)
    plt.xlabel('X', fontsize=16)
    plt.ylabel('Y', fontsize=16)

plt.tight_layout(1, rect=(0,0,1,0.95))
plt.suptitle(u'线性回归过拟合显示', fontsize=22)
plt.show()

# 线性回归、Lasso回归、Ridge回归、ElasticNet比较
plt.figure(facecolor='w')
# 多项式阶数
degree = np.arange(1,N, 2)
dm = degree.size
# 颜色
colors = []
for c in np.linspace(16711680, 255, dm):
    colors.append('#%06x' % int(c))
titles = [u'线性回归', u'Ridge回归', u'Lasso回归', u'ElasticNet']

for t in range(4):
    # 模型具体的pipeline
    model = models[t]
    plt.subplot(2,2,t+1)
    plt.plot(x, y, 'ro', ms=10, zorder=N)

    for i,d in enumerate(degree):
        # 设置阶数（多项式）
        model.set_params(Poly__degree=d)
        # 模型训练
        model.fit(x, y.ravel())

        # 获取得到具体的算法模型
        lin = model.get_params('Linear')['Linear']
        # 打印数据
        output = u'%s:%d阶，系数为：' % (titles[t],d)
        print (output, lin.coef_.ravel())

        # 产生模拟数据
        x_hat = np.linspace(x.min(), x.max(), num=100)
        x_hat.shape = -1,1
        # 数据预测
        y_hat = model.predict(x_hat)
        # 计算准确率
        s = model.score(x, y)

        z = N - 1 if (d == 2) else 0
        label = u'%d阶, 正确率=%.3f' % (d,s)
        plt.plot(x_hat, y_hat, color=colors[i], lw=2, alpha=0.75, label=label, zorder=z)
    
    plt.legend(loc = 'upper left')
    plt.grid(True)
    plt.title(titles[t])
    plt.xlabel('X', fontsize=16)
    plt.ylabel('Y', fontsize=16)
plt.tight_layout(1, rect=(0,0,1,0.95))
plt.suptitle(u'各种不同线性回归过拟合显示', fontsize=22)
plt.show()