How to Use Elastic Net Regression
Cast a flexible net that only retains big fish
Note: The code used in this article utilizes three custom scripts, data_cleaning, data_review, and , eda, that can be accessed through a public GitHub repository.
It is like a stretchable fishing net that retains ‘all the big fish’ Zou & Hastie (2005) p. 302
Background
Linear regression is a commonly used teaching tool in data science and, under the appropriate conditions (e.g., linear relationship between the independent and dependent variables, absence of multicollinearity), it can be an effective method for predicting a response. However, in some scenarios (e.g., when the model’s structure becomes complex), its use can be problematic.
To address some of the algorithm’s limitations, penalization or regularization techniques have been suggested [1]. Two popular methods of regularization are ridge and lasso regression, but choosing between these methods can be difficult for those new to the field of data science.
One approach to choosing between ridge and lasso regression is to examine the relevancy of the features to the response variable [2]. When the majority of features in the model are relevant (i.e., contribute to the predictive power of the model), the ridge regression penalty (or L2 penalty) should be added to linear regression.
When the ridge regression penalty is added, the cost function of the model is:
- θ = the vector of parameters or coefficients of the model
- α = the overall strength of the regularization
- m = the number of training examples
- n = the number of features in the dataset
When the majority of features are irrelevant (i.e., do not contribute to the predictive power of the model), the lasso regression penalty (or L1 penalty) should be added to linear regression.
When the lasso regression penalty is added, the cost function of the model is:
Relevancy can be determined through manual review or cross validation; however, when working with several features, the process becomes time consuming and computationally expensive.
An efficient and flexible solution to this issue is using elastic net regression, which combines the ridge and lasso penalties.
The cost function for elastic net regression is:
- r = the mixing ratio between ridge and lasso regression.
When r is 1, only the lasso penalty is used and when r is 0 , only the ridge penalty is used. When r is a value between 0 and 1, a mixture of the penalties is used.
In addition to being well-suited for datasets with several features, elastic net regression has other attributes that make it an appealing tool for data scientists [1]:
- Automatic selection of relevant features, which results in parsimonious models that are easy to interpret
- Continuous shrinkage, which gradually reduces the coefficients of less relevant features towards zero (opposed to an immediate reduction to zero)
- Ability to select groups of correlated features, instead of selecting one feature from the group arbitrarily
Due to its utility and flexibility, Zou and Hastie (2005) compared the model to a “…stretchable fishing net that retains all the big fish.” (p. 302), where big fish are analogous to relevant features.
Now that we have some background, we can move forward to implementing elastic net regression on a real dataset.
Implementation
A great resource for data is the University of California at Irvine’s Machine Learning Repository (UCI ML Repo). For the tutorial, we’ll use the Wine Quality Dataset [3], which is licensed under a Creative Commons Attribution 4.0 International license.
The function displayed below can be used to obtain datasets and variable information from the UCI ML Repo by entering the identification number as the parameter of the function.
pip install ucimlrepo # unless already installedfrom ucimlrepo import fetch_ucirepo
import pandas as pd
def fetch_uci_data(id):
"""
Function to return features datasets from the UCI ML Repository.
Parameters
----------
id: int
Identifying number for the dataset
Returns
----------
df: df
Dataframe with features and response variable
"""
dataset = fetch_ucirepo(id=id)
features = pd.DataFrame(dataset.data.features)
response = pd.DataFrame(dataset.data.targets)
df = pd.concat([features, response], axis=1)
# Print variable information
print('Variable Information')
print('--------------------')
print(dataset.variables)
return(df)# Wine Quality's identification number is 186
df = fetch_uci_data(186)A pandas dataframe has been assigned to the variable “df” and information about the dataset has been printed.
Exploratory Data Analysis
Variable Information
--------------------
name role type demographic \
0 fixed_acidity Feature Continuous None
1 volatile_acidity Feature Continuous None
2 citric_acid Feature Continuous None
3 residual_sugar Feature Continuous None
4 chlorides Feature Continuous None
5 free_sulfur_dioxide Feature Continuous None
6 total_sulfur_dioxide Feature Continuous None
7 density Feature Continuous None
8 pH Feature Continuous None
9 sulphates Feature Continuous None
10 alcohol Feature Continuous None
11 quality Target Integer None
12 color Other Categorical None
description units missing_values
0 None None no
1 None None no
2 None None no
3 None None no
4 None None no
5 None None no
6 None None no
7 None None no
8 None None no
9 None None no
10 None None no
11 score between 0 and 10 None no
12 red or white None noBased on the variable information, we can see that there are 11 “features”, 1 “target”, and 1 “other” variables in the dataset. This is interesting information — if we had extracted the data without the variable information, we may not have known that there were data available on the family (or color) of wine. At this time, we won’t be incorporating the “color” variable into the model, but it’s nice to know it’s there for future iterations of the project.
The “description” column in the variable information suggests that the “quality” variable is categorical. The data are likely ordinal, meaning they have a hierarchical structure but the intervals between the data are not guaranteed to be equal or known. In practical terms, it means a wine rated as 4 is not twice as good as a wine rated as 2. To address this issue, we’ll convert the data to the proper data-type.
df['quality'] = df['quality'].astype('category')To gain a better understanding of the data, we can use the countplot() method from the seaborn package to visualize the distribution of the “quality” variable.
import seaborn as sns
import matplotlib.pyplot as plt
sns.set_theme(style='whitegrid') # optional
sns.countplot(data=df, x='quality')
plt.title('Distribution of Wine Quality')
plt.xlabel('Quality')
plt.ylabel('Count')
plt.show()
When conducting an exploratory data analysis, creating histograms for numeric features is beneficial. Additionally, grouping the variables by a categorical variable can provide new insights. The best option for grouping the data is “quality”. However, given there are 7 groups of quality, the plots could become difficult to read. To simplify grouping, we can create a new feature, “rating”, that organizes the data on “quality” into three categories: low, medium, and high.
def categorize_quality(value):
if 0 <= value <= 3:
return 0 # low rating
elif 4 <= value <= 6:
return 1 # medium rating
else:
return # high rating
# Create new column for 'rating' data
df['rating'] = df['quality'].apply(categorize_quality)To determine how many wines are each group, we can use the following code:
df['rating'].value_counts()rating
1 5190
2 1277
0 30
Name: count, dtype: int64Based on the output of the code, we can see that the majority of wines are categorized as “medium”.
Now, we can plot histograms of the numeric features groups by “rating”. To plot the histogram we’ll need to use the gen_histograms_by_category() method from the eda script in the GitHub repository shared at the beginning of the article.
import eda
eda.gen_histograms_by_category(df, 'rating')
Above is one of the plots generated by the method. A review of the plot indicates there is some skew in the data. To gain a more precise measure of skew, along with other statistics, we can use the get_statistics() method from the data_review script.
from data_review import get_statistics
get_statistics(df)-------------------------
Descriptive Statistics
-------------------------
fixed_acidity volatile_acidity citric_acid residual_sugar chlorides free_sulfur_dioxide total_sulfur_dioxide density pH sulphates alcohol quality
count 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000 6497.000000
mean 7.215307 0.339666 0.318633 5.443235 0.056034 30.525319 115.744574 0.994697 3.218501 0.531268 10.491801 5.818378
std 1.296434 0.164636 0.145318 4.757804 0.035034 17.749400 56.521855 0.002999 0.160787 0.148806 1.192712 0.873255
min 3.800000 0.080000 0.000000 0.600000 0.009000 1.000000 6.000000 0.987110 2.720000 0.220000 8.000000 3.000000
25% 6.400000 0.230000 0.250000 1.800000 0.038000 17.000000 77.000000 0.992340 3.110000 0.430000 9.500000 5.000000
50% 7.000000 0.290000 0.310000 3.000000 0.047000 29.000000 118.000000 0.994890 3.210000 0.510000 10.300000 6.000000
75% 7.700000 0.400000 0.390000 8.100000 0.065000 41.000000 156.000000 0.996990 3.320000 0.600000 11.300000 6.000000
max 15.900000 1.580000 1.660000 65.800000 0.611000 289.000000 440.000000 1.038980 4.010000 2.000000 14.900000 9.000000
skew 1.723290 1.495097 0.471731 1.435404 5.399828 1.220066 -0.001177 0.503602 0.386839 1.797270 0.565718 0.189623
kurtosis 5.061161 2.825372 2.397239 4.359272 50.898051 7.906238 -0.371664 6.606067 0.367657 8.653699 -0.531687 0.23232Consistent with the histogram, the feature labeled “fixed_acidity” has a skewness of 1.72 indicating significant right-skewness.
To determine if there are correlations between the variables, we can use another function from the eda script.
eda.gen_corr_matrix_hmap(df)
Although there a few moderate and strong relationships between features, elastic net regression performs well with correlated variables, therefore, no action is required [2].
Data Cleaning
For the elastic net regression algorithm to run correctly, the numeric data must be scaled and the categorical variables must be encoded.
To clean the data, we’ll take the following steps:
- Scale the data using the the
scale_data()method from the thedata_cleaningscript - Encode the “quality” and “rating” variables using the the
get_dummies()method frompandas - Separate the features (i.e., X) and response variable (i.e., y) using the
separate_data()method - Split the data into train and test sets using
train_test_split()
from sklearn.model_selection import train_test_split
from data_cleaning import scale_data, separate_data
df_scaled = scale_data(df)
df_encoded = pd.get_dummies(df_scaled, columns=['quality', 'rating'])
# Separate features and response variable (i.e., 'alcohol')
X, y = separate_data(df_encoded, 'alcohol')
# Create test and train sets
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size =0.2, random_state=0)Model Building and Evaluation
To train the model, we’ll use ElasticNetCV() which has two parameters, alpha and l1_ratio, and built-in cross validation. The alpha parameter determines the strength of the regularization applied to the model and l1_ratio determines the mix of the lasso and ridge penalty (it is equivalent to the variable r that was reviewed in the Background section).
- When
l1_ratiois set to a value of 0, the ridge regression penalty is used. - When
l1_ratiois set to a value of 1, the lasso regression penalty is used. - When
l1_ratiois set to a value between 0 and 1, a mixture of both penalties are used.
Choosing values for alpha and l1_ratio can be challenging; however, the task is made easier through the use of cross validation, which is built into ElasticNetCV(). To make the process easier, you don’t have to provide a list of values from alpha and l1_ratio — you can let the method do the heavy lifting.
from sklearn.linear_model import ElasticNet, ElasticNetCV
# Build the model
elastic_net_cv = ElasticNetCV(cv=5, random_state=1)
# Train the model
elastic_net_cv.fit(X_train, y_train)
print(f'Best Alpha: {elastic_net_cv.alpha_}')
print(f'Best L1 Ratio:{elastic_net_cv.l1_ratio_}')Best Alpha: 0.0013637974514517563
Best L1 Ratio:0.5Based on the printout, we can see the best values for alpha and l1_ratio are 0.001 and 0.5, respectively.
To determine how well the model performed, we can calculate the Mean Squared Error and the R-squared score of the model.
from sklearn.metrics import mean_squared_error
# Predict values from the test dataset
elastic_net_pred = elastic_net_cv.predict(X_test)
mse = mean_squared_error(y_test, elastic_net_pred)
r_squared = elastic_net_cv.score(X_test, y_test)
print(f'Mean Squared Error: {mse}')
print(f'R-squared value: {r_squared}')Mean Squared Error: 0.2999434011721803
R-squared value: 0.7142939720612289Conclusion
Based on the evaluation metrics, the model performs moderately well. However, its performance could be enhanced through some additional steps, like detecting and removing outliers, additional feature engineering, and providing a specific set of values for alpha and l1_ratio in ElasticNetCV(). Unfortunately, those steps are beyond the scope of this simple tutorial; however, they may provide some ideas for how this project could be improved by others.
Thank you for taking the time to read this article. If you have any questions or feedback, please leave a comment.
References
[1] H. Zou & T. Hastie, Regularization and Variable Selection Via the Elastic Net, Journal of the Royal Statistical Society Series B: Statistical Methodology, Volume 67, Issue 2, April 2005, Pages 301–320, https://doi.org/10.1111/j.1467-9868.2005.00503.x
[2] A. Géron, Hands-On Machine Learning with Scikit-Learn, Keras & Tensorflow: Concepts, Tools, and Techniques to Build Intelligent Systems (2021), O’Reilly.
[3] P. Cortez, A. Cerdeira, F. Almeida, T. Matos, & Reis,J.. (2009). Wine Quality. UCI Machine Learning Repository. https://doi.org/10.24432/C56S3T.
