"""Example of adaptive Lasso to produce event sparser solutions
Adaptive lasso consists in computing many Lasso with feature
reweighting. It's also known as iterated L1.
"""
# Authors: Alexandre Gramfort <firstname.lastname@inria.fr>
#
# License: BSD (3-clause)
import numpy as np
from sklearn.datasets import make_regression
from sklearn.linear_model import Lasso
X, y, coef = make_regression(n_samples=306, n_features=8000, n_informative=50,
noise=0.1, shuffle=True, coef=True, random_state=42)
X /= np.sum(X ** 2, axis=0) # scale features
alpha = 0.1
g = lambda w: np.sqrt(np.abs(w))
gprime = lambda w: 1. / (2. * np.sqrt(np.abs(w)) + np.finfo(float).eps)
# Or another option:
# ll = 0.01
# g = lambda w: np.log(ll + np.abs(w))
# gprime = lambda w: 1. / (ll + np.abs(w))
n_samples, n_features = X.shape
p_obj = lambda w: 1. / (2 * n_samples) * np.sum((y - np.dot(X, w)) ** 2) \
+ alpha * np.sum(g(w))
weights = np.ones(n_features)
n_lasso_iterations = 5
for k in range(n_lasso_iterations):
X_w = X / weights[np.newaxis, :]
clf = Lasso(alpha=alpha, fit_intercept=False)
clf.fit(X_w, y)
coef_ = clf.coef_ / weights
weights = gprime(coef_)
print p_obj(coef_) # should go down
print np.mean((clf.coef_ != 0.0) == (coef != 0.0))
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