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FIX correct Lasso.dual_gap_ to match the objective in its docstring #19172

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Merged
merged 8 commits into from
Jan 20, 2021
Merged

FIX correct Lasso.dual_gap_ to match the objective in its docstring #19172

merged 8 commits into from
Jan 20, 2021

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mathurinm
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Reference Issues/PRs

closes #19160

What does this implement/fix? Explain your changes.

The Lasso objective in the docstring is 1 / n_samples * the objective minimized in the cython solvers. The duality gap returned by the solvers should therefore be scaled so that after fitting, Lasso.dual_gap_ corresponds to the formulation with 1/n_samples.

Importantly, this does not affect the optimization process: the stopping criterion is untouched, and the same number of iterations are run.

@lorentzenchr
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lorentzenchr commented Jan 18, 2021 •
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I would (edit) not change the Cython code. AFAIU, that part is correct. I would change enet_path

scikit-learn/sklearn/linear_model/_coordinate_descent.py

Line 318 in 1fca00b

def enet_path(X, y, *, l1_ratio=0.5, eps=1e-3, n_alphas=100, alphas=None,

and correct the dual gap after calling the solver from cd_fast. (And add a comment why we need to rescale.)

@mathurinm
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Thanks @lorentzenchr. I'm guessing you mean "I would NOT change" the cython code ? Indeed the gap there matches the cython formulation.

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I think MultiTaskElasticNet.fit also needs this rescaling as it does not use enet_path but calls enet_coordinate_descent_multi_task itself.

@mathurinm
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thanks, fixed.

I'm missing something : MultitaskElasticNetCV uses path = staticmethod(enet_path), any reason why MultitaskElasticNet does not do the same instead of hardcoding the call to enet_coordinate_descent_multitask ?

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lorentzenchr commented Jan 18, 2021 •
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@mathurinm Can you add a test for the correct dual gap?
A derivative can be checked by numerical differentiation. Is there something alike for the dual gap?

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MultiTaskElasticNet also inherits from Lasso instead of ElasticNet. Having it work with path = staticmethod(enet_path) is maybe an issue for another issue;-)

@mathurinm
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I added a test where I compute manually the gap after fitting, and check that it equals Lasso.dual_gap_

lorentzenchr
lorentzenchr approved these changes Jan 19, 2021
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LGTM

sklearn/linear_model/tests/test_coordinate_descent.py Outdated Show resolved Hide resolved
@mathurinm @lorentzenchr
Update sklearn/linear_model/tests/test_coordinate_descent.py
06d9d40 
Co-authored-by: Christian Lorentzen <lorentzen.ch@gmail.com>
agramfort
agramfort approved these changes Jan 19, 2021
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LGTM !

do we need a what's new entry?

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do we need a what's new entry?

Yes, a short bugfix note is a good idea.

@lorentzenchr lorentzenchr changed the title FIX: have Lasso.dual_gap_ match the objective in its docstring FIX correct Lasso.dual_gap_ to match the objective in its docstring Jan 20, 2021
@lorentzenchr lorentzenchr merged commit 9183486 into scikit-learn:master Jan 20, 2021
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@mathurinm Thank you very much for detecting and fixing this bug.

@sujitahirrao sujitahirrao mentioned this pull request Jan 21, 2021
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@glemaitre glemaitre mentioned this pull request Apr 22, 2021
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@agramfort agramfort agramfort approved these changes

@lorentzenchr lorentzenchr lorentzenchr approved these changes

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Lasso.dual_gap_ does not match the formulation in the doc
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