How to Perform Lasso and Ridge Regression in Python

How to Perform Lasso and Ridge Regression in PythonA quick tutorial on how to use lasso and ridge regression to improve your linear model.

Marco PeixeiroBlockedUnblockFollowFollowingJan 12Photo by Zhen Hu on UnsplashPreviously, I introduced the theory underlying lasso and ridge regression.

We now know that they are alternate fitting methods that can greatly improve the performance of a linear model.

In this quick tutorial, we revisit a previous project where linear regression was used to see if we can improve the model with our regularization methods.

As a quick reminder, the project consisted of predicting sales based on ad spending.

Specifically, this tutorial covers:How to use numpy and pandasHow to plot using matplotlibHow to perform k-fold cross-validationHow to perform grid search to automatically find the best regularization parameter (alpha) for lasso and ridge regressionThe full notebook and dataset are available here.

Get your Jupyter notebook running and let’s get to it!There are more “lasso” gifs than “ridge regression” gifsImport librariesLike with any project, we import our usual libraries that will help us perform basic data manipulation and plotting.

Now, we can start our exploratory data analysis.

Exploratory data analysisWe start off by importing our dataset and looking at the first five rows:You should see:Notice that the Unnamed: 0 column is useless.

Let’s take it out.

And now, our dataset looks like this:As you can see, we only have three advertising mediums, and sales is our target variable.

Let’s see how each variable impacts the sales by making a scatter plot.

First, we build a helper function to make a scatter plot:Now, we can generate three different plots for each feature.

And you get the following:Sales with respect to money spend on TV adsSales with respect to money spent on radio adsSales with respect to money spent on newspaper adsAs you can see, TV and radio ads seem to be good predictors for sales, while there seems to be no correlations between sales and newspaper ads.

Luckily, our dataset does not require further processing, so we are ready to move on to modelling right away!ModellingMultiple linear regression — least squares fittingLet’s take a look at what the code looks like, before going through it.

First, we import the LinearRegression and cross_val_score objects.

The first one will allow us to fit a linear model, while the second object will perform k-fold cross-validation.

Then, we define our features and target variable.

The cross_val_score will return an array of MSE for each cross-validation steps.

In our case, we have five of them.

Therefore, we take the mean of MSE and print it.

You should get a negative MSE of -3.

0729.

Now, let’s see if ridge regression or lasso will be better.

Ridge regressionFor ridge regression, we introduce GridSearchCV.

This will allow us to automatically perform 5-fold cross-validation with a range of different regularization parameters in order to find the optimal value of alpha.

The code looks like this:Then, we can find the best parameter and the best MSE with the following:You should see that the optimal value of alpha is 20, with a negative MSE of -3.

07267.

This is a slight improvement upon the basic multiple linear regression.

LassoFor lasso, we follow a very similar process to ridge regression:In this case, the optimal value for alpha is 1, and the negative MSE is -3.

0414, which is the best score of all three models!There you go!.You now know how to use lasso and ridge regression in Python.

We have seen in this case that lasso is the best fitting method, with a regularization value of 1.

Feel free to post any questions or comments!.I look forward to reading them!Stay tuned for more!.

. More details

Leave a Reply