plot_ridge_path.py

"""
===========================================================
Plot Ridge coefficients as a function of the regularization
===========================================================

Shows the effect of collinearity in the coefficients of an estimator.

.. currentmodule:: sklearn.linear_model

:class:`Ridge` Regression is the estimator used in this example.
Each color represents a different feature of the
coefficient vector, and this is displayed as a function of the
regularization parameter.

At the end of the path, as alpha tends toward zero
and the solution tends towards the ordinary least squares, coefficients
exhibit big oscillations.
"""

# Author: Fabian Pedregosa -- <fabian.pedregosa@inria.fr>
# License: BSD 3 clause

print(__doc__)

import numpy as np
import matplotlib.pyplot as plt
from sklearn import linear_model

# X is the 10x10 Hilbert matrix
X = 1. / (np.arange(1, 11) + np.arange(0, 10)[:, np.newaxis])
y = np.ones(10)

###############################################################################
# Compute paths

n_alphas = 200
alphas = np.logspace(-10, -2, n_alphas)
clf = linear_model.Ridge(fit_intercept=False)

coefs = []
for a in alphas:
    clf.set_params(alpha=a)
    clf.fit(X, y)
    coefs.append(clf.coef_)

###############################################################################
# Display results

ax = plt.gca()
ax.set_color_cycle(['b', 'r', 'g', 'c', 'k', 'y', 'm'])

ax.plot(alphas, coefs)
ax.set_xscale('log')
ax.set_xlim(ax.get_xlim()[::-1])  # reverse axis
plt.xlabel('alpha')
plt.ylabel('weights')
plt.title('Ridge coefficients as a function of the regularization')
plt.axis('tight')
plt.show()