python实现岭回归

岭回归实现（最小二乘法的带惩罚项版）

# 代码实现

import numpy as np
import matplotlib.pyplot as plt
from sklearn import linear_model

def main():
	# X 是一个 10x10 的 希尔伯特矩阵(Hilbert matrix)
	X = 1. / (np.arange(1, 11) + np.arange(0, 10)[:, np.newaxis])
	#十个1的向量
	y = np.ones(10)

	# 计算路径(Compute paths)
	n_alphas = 200
	alphas = np.logspace(-10, -2, n_alphas)

	coefs = []
	for a in alphas:
    	ridge = linear_model.Ridge(alpha=a, fit_intercept=False)    #每个循环都要重新实例化一个estimator对象
    	ridge.fit(X, y)
    	coefs.append(ridge.coef_)
	# 展示结果
	ax = plt.gca()
	ax.plot(alphas, coefs)
	ax.set_xscale('log')
	ax.set_xlim(ax.get_xlim()[::-1])  # 反转数轴，越靠左边 alpha 越大，正则化也越厉害
	plt.xlabel('alpha')
	plt.ylabel('weights')
	plt.title('Ridge coefficients as a function of the regularization')
	plt.axis('tight')
	plt.show()
if __name__='__main__':
	main()

运行结果