LARS¶

(Source code, png)

class LARS(*args)¶

Least Angle Regression.

Refer to Sparse least squares metamodel.

Methods

`build`(x, y, psi, indices)	Run the algorithm.
`getClassName`()	Accessor to the object's name.
`getMaximumRelativeConvergence`()	Accessor to the stopping criterion on the L1-norm of the coefficients.
`getName`()	Accessor to the object's name.
`hasName`()	Test if the object is named.
`setMaximumRelativeConvergence`(coefficientsPaths)	Accessor to the stopping criterion on the L1-norm of the coefficients.
`setName`(name)	Accessor to the object's name.

See also

BasisSequenceFactory

Notes

LARS inherits from BasisSequenceFactory.

If the size $P$ of the PC basis is of similar size to $N$ , or even possibly significantly larger than $N$ , then the following ordinary least squares problem is ill-posed:

$\vect{a} = \argmin_{\vect{b} \in \Rset^P} E_{\mu} \left[ \left( g \circ T^{-1} (\vect{U}) - \vect{b}^{\intercal} \vect{\Psi}(\vect{U}) \right)^2 \right]$

The sparse least squares approaches may be employed instead. Eventually a sparse PC representation is obtained, that is an approximation which only contains a small number of active basis functions.

Examples

>>> import openturns as ot
>>> from openturns.usecases import ishigami_function
>>> im = ishigami_function.IshigamiModel()
>>> # Create the orthogonal basis
>>> polynomialCollection = [ot.LegendreFactory()] * im.dim
>>> enumerateFunction = ot.LinearEnumerateFunction(im.dim)
>>> productBasis = ot.OrthogonalProductPolynomialFactory(polynomialCollection, enumerateFunction)
>>> # experimental design
>>> samplingSize = 75
>>> experiment = ot.LowDiscrepancyExperiment(ot.SobolSequence(), im.inputDistribution, samplingSize)
>>> # generate sample
>>> x = experiment.generate()
>>> y = im.model(x)
>>> # iso transfo
>>> xToU = ot.DistributionTransformation(im.inputDistribution, productBasis.getMeasure())
>>> u = xToU(x)
>>> # build basis
>>> degree = 10
>>> basisSize = enumerateFunction.getStrataCumulatedCardinal(degree)
>>> basis = [productBasis.build(i) for i in range(basisSize)]
>>> # run algorithm
>>> factory = ot.BasisSequenceFactory(ot.LARS())
>>> seq = factory.build(u, y, basis, list(range(basisSize)))