Skip to content

[MRG] Fix bug in graph lasso when n_features=2 #13276

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
merged 6 commits into from
Feb 27, 2019
Merged

[MRG] Fix bug in graph lasso when n_features=2 #13276

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
6 commits
Select commit Hold shift + click to select a range
af64502
fix bug in graph lasso
bellet Feb 26, 2019
34772df
better fix
bellet Feb 26, 2019
574e737
add test for case n_features=2
bellet Feb 26, 2019
eee782e
remove test for deprecated version
bellet Feb 26, 2019
b92fd27
update whats new
bellet Feb 26, 2019
5ccf580
note that the bug was a regression
jnothman Feb 26, 2019
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
7 changes: 7 additions & 0 deletions doc/whats_new/v0.20.rst
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -29,6 +29,13 @@ Changelog
negative indexes in the columns list of the transformers.
:issue:`12946` by :user:`Pierre Tallotte <pierretallotte>`.

:mod:`sklearn.covariance`
......................

- |Fix| Fixed a regression in :func:`covariance.graphical_lasso` so that
the case `n_features=2` is handled correctly. :issue:`13276` by
:user:`Aurélien Bellet <bellet>`.

:mod:`sklearn.decomposition`
............................

Expand Down
2 changes: 1 addition & 1 deletion sklearn/covariance/graph_lasso_.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -204,7 +204,7 @@ def graphical_lasso(emp_cov, alpha, cov_init=None, mode='cd', tol=1e-4,
# https://github.com/scikit-learn/scikit-learn/issues/4134
d_gap = np.inf
# set a sub_covariance buffer
sub_covariance = np.ascontiguousarray(covariance_[1:, 1:])
sub_covariance = np.copy(covariance_[1:, 1:], order='C')
for i in range(max_iter):
for idx in range(n_features):
# To keep the contiguous matrix `sub_covariance` equal to
Expand Down
17 changes: 17 additions & 0 deletions sklearn/covariance/tests/test_graphical_lasso.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -85,6 +85,23 @@ def test_graphical_lasso_iris():
assert_array_almost_equal(icov, icov_R)


def test_graph_lasso_2D():
# Hard-coded solution from Python skggm package
# obtained by calling `quic(emp_cov, lam=.1, tol=1e-8)`
cov_skggm = np.array([[3.09550269, 1.186972],
[1.186972, 0.57713289]])

icov_skggm = np.array([[1.52836773, -3.14334831],
[-3.14334831, 8.19753385]])
X = datasets.load_iris().data[:, 2:]
emp_cov = empirical_covariance(X)
for method in ('cd', 'lars'):
cov, icov = graphical_lasso(emp_cov, alpha=.1, return_costs=False,
mode=method)
assert_array_almost_equal(cov, cov_skggm)
assert_array_almost_equal(icov, icov_skggm)


def test_graphical_lasso_iris_singular():
# Small subset of rows to test the rank-deficient case
# Need to choose samples such that none of the variances are zero
Expand Down