根据《基于R应用的统计学习导论》书中, 统计量是衡量拟合度的一个标准,采取比例形式,所以它的值总在0和1之间。
用下列公式计算:
其中,是总平方和(total sum of squares),而
是残差平方和(residual sum of squares).
越接近1越好,残差也就越小。
在sklearn.metrics.r2_score源码中实现如下:
def r2_score(y_true, y_pred, sample_weight=None,
multioutput="uniform_average"):
"""R^2 (coefficient of determination) regression score function.
Best possible score is 1.0 and it can be negative (because the
model can be arbitrarily worse). A constant model that always
predicts the expected value of y, disregarding the input features,
would get a R^2 score of 0.0.
Read more in the :ref:`User Guide <r2_score>`.
Parameters
----------
y_true : array-like of shape = (n_samples) or (n_samples, n_outputs)
Ground truth (correct) target values.
y_pred : array-like of shape = (n_samples) or (n_samples, n_outputs)
Estimated target values.
sample_weight : array-like of shape = (n_samples), optional
Sample weights.
multioutput : string in ['raw_values', 'uniform_average', \
'variance_weighted'] or None or array-like of shape (n_outputs)
Defines aggregating of multiple output scores.
Array-like value defines weights used to average scores.
Default is "uniform_average".
'raw_values' :
Returns a full set of scores in case of multioutput input.
'uniform_average' :
Scores of all outputs are averaged with uniform weight.
'variance_weighted' :
Scores of all outputs are averaged, weighted by the variances
of each individual output.
.. versionchanged:: 0.19
Default value of multioutput is 'uniform_average'.
Returns
-------
z : float or ndarray of floats
The R^2 score or ndarray of scores if 'multioutput' is
'raw_values'.
Notes
-----
This is not a symmetric function.
Unlike most other scores, R^2 score may be negative (it need not actually
be the square of a quantity R).
This metric is not well-defined for single samples and will return a NaN
value if n_samples is less than two.
References
----------
.. [1] `Wikipedia entry on the Coefficient of determination
<https://en.wikipedia.org/wiki/Coefficient_of_determination>`_
Examples
--------
>>> from sklearn.metrics import r2_score
>>> y_true = [3, -0.5, 2, 7]
>>> y_pred = [2.5, 0.0, 2, 8]
>>> r2_score(y_true, y_pred) # doctest: +ELLIPSIS
0.948...
>>> y_true = [[0.5, 1], [-1, 1], [7, -6]]
>>> y_pred = [[0, 2], [-1, 2], [8, -5]]
>>> r2_score(y_true, y_pred,
... multioutput='variance_weighted') # doctest: +ELLIPSIS
0.938...
>>> y_true = [1, 2, 3]
>>> y_pred = [1, 2, 3]
>>> r2_score(y_true, y_pred)
1.0
>>> y_true = [1, 2, 3]
>>> y_pred = [2, 2, 2]
>>> r2_score(y_true, y_pred)
0.0
>>> y_true = [1, 2, 3]
>>> y_pred = [3, 2, 1]
>>> r2_score(y_true, y_pred)
-3.0
"""
y_type, y_true, y_pred, multioutput = _check_reg_targets(
y_true, y_pred, multioutput)
check_consistent_length(y_true, y_pred, sample_weight)
if _num_samples(y_pred) < 2:
msg = "R^2 score is not well-defined with less than two samples."
warnings.warn(msg, UndefinedMetricWarning)
return float('nan')
if sample_weight is not None:
sample_weight = column_or_1d(sample_weight)
weight = sample_weight[:, np.newaxis]
else:
weight = 1.
######################## 主要思想开始 ###############################################
numerator = (weight * (y_true - y_pred) ** 2).sum(axis=0,
dtype=np.float64)
denominator = (weight * (y_true - np.average(
y_true, axis=0, weights=sample_weight)) ** 2).sum(axis=0,
dtype=np.float64)
nonzero_denominator = denominator != 0
nonzero_numerator = numerator != 0
valid_score = nonzero_denominator & nonzero_numerator
output_scores = np.ones([y_true.shape[1]])
output_scores[valid_score] = 1 - (numerator[valid_score] /
denominator[valid_score])
######################## 主要思想结束 ###############################################
# arbitrary set to zero to avoid -inf scores, having a constant
# y_true is not interesting for scoring a regression anyway
output_scores[nonzero_numerator & ~nonzero_denominator] = 0.
if isinstance(multioutput, str):
if multioutput == 'raw_values':
# return scores individually
return output_scores
elif multioutput == 'uniform_average':
# passing None as weights results is uniform mean
avg_weights = None
elif multioutput == 'variance_weighted':
avg_weights = denominator
# avoid fail on constant y or one-element arrays
if not np.any(nonzero_denominator):
if not np.any(nonzero_numerator):
return 1.0
else:
return 0.0
else:
avg_weights = multioutput
return np.average(output_scores, weights=avg_weights)