[MRG] Add quantile regression#9978

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glemaitre merged 147 commits intoscikit-learn:mainfrom

avidale:quantile-regression

May 25, 2021

Commits on Oct 4, 2017

Added basic Quantile regression
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Added L1 penalty to loss function
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Commits on Oct 16, 2017

Add tests and plot example for Quantile Regression
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Commits on Oct 17, 2017

Enable gtol and maxiter
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light refactor
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Code for approximate smooth quantile loss
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Fix error in the smooth version
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Commits on Oct 18, 2017

Solve a sequence of smooth problems instead of one non-smooth.
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Tuned convergence
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Rename approximation threshold, write docstrings
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Enforce zero coefficients
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Fix zero enforcement
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Commits on Oct 22, 2017

Add description in user guide
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pep8 line widths
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Merge remote-tracking branch 'upstream/master' into quantile-regression
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Mention GradientBoostingRegressor in the docs.
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Mention robustness in doc.
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Commits on Mar 17, 2021

reuse sp_version
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skip the tests in case of old scipy
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move the diff to the 1.0 changelog
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try even harder to avoid being tested with old scipy
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import ConvergenceWarning
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undo the exit from the example
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Commits on Mar 22, 2021

Update sklearn/linear_model/_quantile.py
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Commits on Mar 29, 2021

CLN use standard term variables n_samples and n_features
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CLN rescale penalty
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CLN rename c_vector to c
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DOC solver default argument
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CLN remove centering of y and X, i.e. _preprocess_data
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CLN restructure code
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TST parametrize test_quantile_estimates_fraction
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CLN add note about centering y and X
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DOC some more line breaks
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EXA fix title
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TST rename test to test_quantile_estimates_calibration
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TST use pytest.raises instead of assert_raises
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TST fix test
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TST remove use of check_random_state
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DOC update whatsnew
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Commits on Mar 30, 2021

TST nicer input validation tests
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CLN improve input validation of parameters
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TST improve test_asymmetric_error
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TST add test with L1 and compare to Nelder-Mead
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TST parametrize test_quantile_equals_huber_for_low_epsilon
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TST use pytest.approx
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Commits on Mar 31, 2021

CLN fix type
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DOC remove 'auto' solver
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TST change order of pytest.mark decorators
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Commits on Apr 1, 2021

DOC change references to quantile regression literature
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TST add test for equivariance
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DOC miiiinor improvements
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DOC recommend highs methods
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Commits on Apr 2, 2021

CLN make init arguments keyword only
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Commits on Apr 18, 2021

ENH remove simplex solver
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Merge branch 'main' into quantile-regression
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Commits on Apr 26, 2021

Add and fix author names
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Change default alpha to 1.0
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Use f-strings and string fixes
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Better docstring for solver highs
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Prefer np.full over np.ones
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Better warning message
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Change warning into error on failing linprog
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TST add test for failing linprog
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Merge branch 'main' into quantile-regression
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Commits on Apr 27, 2021

DOC add See Also section
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Address review comments
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Commits on Apr 30, 2021

EXA rework example
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make linter happy
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EXA tiny improvement
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Commits on May 6, 2021

TST try to fix two tests
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FIX zero samples weights
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make linter happy
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Commits on May 7, 2021

TST add test for solver_options
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ENH make solver more stable (but slower)
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black
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fix solver_option logic
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make linter happy again
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Commits on May 18, 2021

Merge branch 'main' into quantile-regression
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TST adapt test precision
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ENH print linprog result.message when failing
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TST assure convergence in test_equivariance
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TST remove skipif for scipy<1.0.0
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MNT remove _more_tags
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Commits on May 20, 2021

prefer ConvergenceWarning over ValueError
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DOC add examples section in docstring
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address minor review comments
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TST test highs solver raises for old scipy
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fix use of fixture
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fix example by calling fit
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Commits on May 23, 2021

DOC add reference to Koenker's book
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