class STLSQ¶

class deeptime.sindy.STLSQ(threshold=0.1, alpha=0.05, max_iter=20, ridge_kw=None, fit_intercept=False, copy_X=True, **kw)¶

Sequentially thresholded least squares algorithm.

Attempts to minimize the objective function $\|y - Xw\|^2_2 + \alpha \|w\|^2_2$ by iteratively performing least squares and masking out elements of the weight that are below a given threshold.

See this paper for more details [1].

Parameters:

threshold (float, optional, default=0.1) – Minimum magnitude for a coefficient in the weight vector. Coefficients with magnitude below the threshold are set to zero.
alpha (float, optional, default=0.05) – Optional L2 (ridge) regularization on the weight vector.
max_iter (int, optional, default=20) – Maximum iterations of the optimization algorithm.
ridge_kw (dict, optional, default=None) – Optional keyword arguments to pass to the ridge regression.
fit_intercept (boolean, optional, default=False) – Whether to calculate the intercept for this model. If set to false, no intercept will be used in calculations.
normalize (boolean, optional, default=False) – This parameter is ignored when fit_intercept is set to False. If True, the regressors X will be normalized before regression by subtracting the mean and dividing by the l2-norm.
copy_X (boolean, optional, default=True) – If True, X will be copied; else, it may be overwritten.

References

Methods

`fit`(x_, y)	Fit to the data.
`get_metadata_routing`()	Get metadata routing of this object.
`get_params`([deep])	Get parameters for this estimator.
`predict`(X)	Predict using the linear model.
`score`(X, y[, sample_weight])	Return the coefficient of determination of the prediction.
`set_fit_request`(*[, x_])	Request metadata passed to the `fit` method.
`set_params`(**params)	Set the parameters of this estimator.
`set_score_request`(*[, sample_weight])	Request metadata passed to the `score` method.

fit(x_, y)¶

Fit to the data.

Parameters:

x (array-like, shape (n_samples, n_features)) – Training data ($X$ in the above equation).
y (array-like, shape (n_samples,) or (n_samples, n_targets)) – Target values ($y$ in the above equation).

Returns:

self – Reference to self

Return type:

STLSQ

get_metadata_routing()¶

Get metadata routing of this object.

Please check User Guide on how the routing mechanism works.

Returns:: routing – A MetadataRequest encapsulating routing information.
Return type:: MetadataRequest

get_params(deep=True)¶

Get parameters for this estimator.

Parameters:: deep (bool, default=True) – If True, will return the parameters for this estimator and contained subobjects that are estimators.
Returns:: params – Parameter names mapped to their values.
Return type:: dict

predict(X)¶

Predict using the linear model.

Parameters:: X (array-like or sparse matrix, shape (n_samples, n_features)) – Samples.
Returns:: C – Returns predicted values.
Return type:: array, shape (n_samples,)

score(X, y, sample_weight=None)¶

Return the coefficient of determination of the prediction.

The coefficient of determination $R^2$ is defined as $(1 - \frac{u}{v})$, where $u$ is the residual sum of squares ((y_true - y_pred)** 2).sum() and $v$ is the total sum of squares ((y_true - y_true.mean()) ** 2).sum(). The best possible score is 1.0 and it can be negative (because the model can be arbitrarily worse). A constant model that always predicts the expected value of y, disregarding the input features, would get a $R^2$ score of 0.0.

Parameters:

X (array-like of shape (n_samples, n_features)) – Test samples. For some estimators this may be a precomputed kernel matrix or a list of generic objects instead with shape (n_samples, n_samples_fitted), where n_samples_fitted is the number of samples used in the fitting for the estimator.
y (array-like of shape (n_samples,) or (n_samples, n_outputs)) – True values for X.
sample_weight (array-like of shape (n_samples,), default=None) – Sample weights.

Returns:

score – $R^2$ of self.predict(X) w.r.t. y.

Return type:

float

Notes

The $R^2$ score used when calling score on a regressor uses multioutput='uniform_average' from version 0.23 to keep consistent with default value of r2_score(). This influences the score method of all the multioutput regressors (except for MultiOutputRegressor).

set_fit_request(*, x_: bool | None | str = '$UNCHANGED$') → STLSQ¶

Request metadata passed to the fit method.

Note that this method is only relevant if enable_metadata_routing=True (see sklearn.set_config()). Please see User Guide on how the routing mechanism works.

The options for each parameter are:

True: metadata is requested, and passed to fit if provided. The request is ignored if metadata is not provided.
False: metadata is not requested and the meta-estimator will not pass it to fit.
None: metadata is not requested, and the meta-estimator will raise an error if the user provides it.
str: metadata should be passed to the meta-estimator with this given alias instead of the original name.

The default (sklearn.utils.metadata_routing.UNCHANGED) retains the existing request. This allows you to change the request for some parameters and not others.

Added in version 1.3.

Note

This method is only relevant if this estimator is used as a sub-estimator of a meta-estimator, e.g. used inside a Pipeline. Otherwise it has no effect.

Parameters:: x (str, True, False, or None, default=sklearn.utils.metadata_routing.UNCHANGED) – Metadata routing for x_ parameter in fit.
Returns:: self – The updated object.
Return type:: object

set_params(**params)¶

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as Pipeline). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Parameters:: **params (dict) – Estimator parameters.
Returns:: self – Estimator instance.
Return type:: estimator instance

set_score_request(*, sample_weight: bool | None | str = '$UNCHANGED$') → STLSQ¶

Request metadata passed to the score method.

Note that this method is only relevant if enable_metadata_routing=True (see sklearn.set_config()). Please see User Guide on how the routing mechanism works.

The options for each parameter are:

True: metadata is requested, and passed to score if provided. The request is ignored if metadata is not provided.
False: metadata is not requested and the meta-estimator will not pass it to score.
None: metadata is not requested, and the meta-estimator will raise an error if the user provides it.
str: metadata should be passed to the meta-estimator with this given alias instead of the original name.

The default (sklearn.utils.metadata_routing.UNCHANGED) retains the existing request. This allows you to change the request for some parameters and not others.

Added in version 1.3.

Note

This method is only relevant if this estimator is used as a sub-estimator of a meta-estimator, e.g. used inside a Pipeline. Otherwise it has no effect.

Parameters:: sample_weight (str, True, False, or None, default=sklearn.utils.metadata_routing.UNCHANGED) – Metadata routing for sample_weight parameter in score.
Returns:: self – The updated object.
Return type:: object