Ridge and Lasso Regression - Lab

Introduction

In this lab, you'll practice your knowledge on Ridge and Lasso regression!

Objectives

You will be able to:

Use Lasso and ridge regression in Python
Compare Lasso and Ridge with standard regression

Housing Prices Data

Let's look at yet another house pricing data set.

import pandas as pd
import warnings
warnings.filterwarnings('ignore')

df = pd.read_csv('Housing_Prices/train.csv')

Look at df.info

# Your code here

We'll make a first selection of the data by removing some of the data with dtype = object, this way our first model only contains continuous features

Make sure to remove the SalesPrice column from the predictors (which you store in X), then replace missing inputs by the median per feature.

Store the target in y.

# Load necessary packages


# remove "object"-type features and SalesPrice from `X`


# Impute null values


# Create y

Look at the information of X again

Let's use this data to perform a first naive linear regression model

Compute the R squared and the MSE for both train and test set.

from sklearn.metrics import mean_squared_error, mean_squared_log_error

# Split in train and test

# Fit the model and print R2 and MSE for train and test

Normalize your data

We haven't normalized our data, let's create a new model that uses preprocessing.scale to scale our predictors!

from sklearn import preprocessing

# Scale the data and perform train test split

Perform the same linear regression on this data and print out R-squared and MSE.

# Your code here

Include dummy variables

We haven't included dummy variables so far: let's use our "object" variables again and create dummies

# Create X_cat which contains only the categorical variables

# Make dummies

Merge x_cat together with our scaled X so you have one big predictor dataframe.

# Your code here

Perform the same linear regression on this data and print out R-squared and MSE.

# Your code here

Notice the severe overfitting above; our training R squared is quite high, but the testing R squared is negative! Our predictions are far far off. Similarly, the scale of the Testing MSE is orders of magnitude higher then that of the training.

Perform Ridge and Lasso regression

Use all the data (normalized features and dummy categorical variables) and perform Lasso and Ridge regression for both! Each time, look at R-squared and MSE.

Lasso

With default parameter (alpha = 1)

# Your code here

With a higher regularization parameter (alpha = 10)

# Your code here

Ridge

With default parameter (alpha = 1)

# Your code here

With default parameter (alpha = 10)

# Your code here

Look at the metrics, what are your main conclusions?

Conclusions here

Compare number of parameter estimates that are (very close to) 0 for Ridge and Lasso

# number of Ridge params almost zero

# number of Lasso params almost zero

Compare with the total length of the parameter space and draw conclusions!

# your code here

Summary

Great! You now know how to perform Lasso and Ridge regression.

AustinKrause/dsc-2-24-10-ridge-and-lasso-regression-lab-nyc-ds-career-031119