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Fix for #6931: isotonic y_min/y_max bounds #6928

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Fix for #6931: isotonic y_min/y_max bounds #6928

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a66b0e6
Adding test case from #6921
mjbommar Jun 23, 2016
9bb7a4b
Fixing test case to accept weak inequality
mjbommar Jun 23, 2016
29b0656
Fix for non-pre-sorted data with y_min/y_max in isotonic_regression r…
mjbommar Jun 23, 2016
bef4f65
Cosmit
mjbommar Jun 23, 2016
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25 changes: 17 additions & 8 deletions sklearn/isotonic.py
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Original file line number Diff line number Diff line change
Expand Up @@ -77,7 +77,7 @@ def check_increasing(x, y):


def isotonic_regression(y, sample_weight=None, y_min=None, y_max=None,
increasing=True):
increasing=True, pre_sorted=True):
"""Solve the isotonic regression model::

min sum w[i] (y[i] - y_[i]) ** 2
Expand Down Expand Up @@ -110,6 +110,9 @@ def isotonic_regression(y, sample_weight=None, y_min=None, y_max=None,
Whether to compute ``y_`` is increasing (if set to True) or decreasing
(if set to False)

pre_sorted : boolean, optional, default: True
Whether the input `y` is pre-sorted, e.g., from within a model class.

Returns
-------
y_ : list of floating-point values
Expand All @@ -129,17 +132,23 @@ def isotonic_regression(y, sample_weight=None, y_min=None, y_max=None,
y = y[::-1]
sample_weight = sample_weight[::-1]

# Ensure that sample is sorted if not pre_sort
if not pre_sorted:
_y_sort_index = np.argsort(y)
y = np.copy(y[_y_sort_index])
sample_weight = np.copy(sample_weight[_y_sort_index])

if y_min is not None or y_max is not None:
y = np.copy(y)
sample_weight = np.copy(sample_weight)
# Only create a copy if pre-sorted
if pre_sorted:
y = np.copy(y)
sample_weight = np.copy(sample_weight)

# upper bound on the cost function
C = np.dot(sample_weight, y * y) * 10
if y_min is not None:
y[0] = y_min
sample_weight[0] = C
y[y < y_min] = y_min
if y_max is not None:
y[-1] = y_max
sample_weight[-1] = C
y[y > y_max] = y_max

solution = np.empty(len(y))
y_ = _isotonic_regression(y, sample_weight, solution)
Expand Down
12 changes: 12 additions & 0 deletions sklearn/tests/test_isotonic.py
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Original file line number Diff line number Diff line change
Expand Up @@ -338,6 +338,18 @@ def test_isotonic_duplicate_min_entry():
assert_true(all_predictions_finite)


def test_isotonic_ymin_ymax():
# Test case as reported in Issue #6921
x = np.array([1.26336413, 1.31853693, -0.57200917, 0.3072928, -0.70686507,
-0.17614937, -1.59943059, 1.05908504, 1.3958263, 1.90580318,
0.20992272, 0.02836316, -0.08092235, 0.44438247, 0.01791253,
-0.3771914, -0.89577538, -0.37726249, -1.32687569, 0.18013201])
y = isotonic_regression(x, y_min=0, y_max=0.1)

assert(np.all(y >= 0))
assert(np.all(y <= 0.1))


def test_isotonic_zero_weight_loop():
# Test from @ogrisel's issue:
# https://github.com/scikit-learn/scikit-learn/issues/4297
Expand Down