Related Articles

# Implementation of Ridge Regression from Scratch using Python

• Last Updated : 18 Sep, 2020

Prerequisites:

1. Linear Regression

Introduction:
Ridge Regression ( or L2 Regularization ) is a variation of Linear Regression. In Linear Regression, it minimizes the Residual Sum of Squares ( or RSS or cost function ) to fit the training examples perfectly as possible. The cost function is also represented by J.

Cost Function for Linear Regression: Here, h(x(i)) represents the hypothetical function for prediction. y(i) represents the value of target variable for ith example.
m is the total number of training examples in the given dataset.

Linear regression treats all the features equally and finds unbiased weights to minimizes the cost function. This could arise the problem of overfitting ( or a model fails to perform well on new data ). Linear Regression also can’t deal with the collinear data ( collinearity refers to the event when the features are highly correlated ). In short, Linear Regression is a model with high variance. So, Ridge Regression comes for the rescue. In Ridge Regression, there is an addition of l2 penalty ( square of the magnitude of weights ) in the cost function of Linear Regression. This is done so that the model does not overfit the data. The Modified cost function for Ridge Regression is given below: Here, wj represents the weight for jth feature.
n is the number of features in the dataset.

Mathematical Intuition:
During gradient descent optimization of its cost function, added l2 penalty term leads to reduces the weights of the model to zero or close to zero. Due to the penalization of weights, our hypothesis gets simpler, more generalized, and less prone to overfitting. All weights are reduced by the same factor lambda. We can control the strength of regularization by hyperparameter lambda.

Different cases for tuning values of lambda.

1. If lambda is set to be 0, Ridge Regression equals Linear Regression
2. If lambda is set to be infinity, all weights are shrunk to zero.

So, we should set lambda somewhere in between 0 and infinity.

Implementation From Scratch:
It has 2 columns — “YearsExperience” and “Salary” for 30 employees in a company. So in this, we will train a Ridge Regression model to learn the correlation between the number of years of experience of each employee and their respective salary. Once the model is trained, we will be able to predict the salary of an employee on the basis of his years of experience.

Code:

 # Importing libraries  import numpy as npimport pandas as pdfrom sklearn.model_selection import train_test_splitimport matplotlib.pyplot as plt  # Ridge Regression  class RidgeRegression() :          def __init__( self, learning_rate, iterations, l2_penality ) :                  self.learning_rate = learning_rate                self.iterations = iterations                self.l2_penality = l2_penality              # Function for model training                def fit( self, X, Y ) :                  # no_of_training_examples, no_of_features                self.m, self.n = X.shape                  # weight initialization                self.W = np.zeros( self.n )                  self.b = 0                self.X = X                self.Y = Y                  # gradient descent learning                          for i in range( self.iterations ) :                        self.update_weights()                    return self          # Helper function to update weights in gradient descent          def update_weights( self ) :                   Y_pred = self.predict( self.X )                  # calculate gradients              dW = ( - ( 2 * ( self.X.T ).dot( self.Y - Y_pred ) ) +                              ( 2 * self.l2_penality * self.W ) ) / self.m             db = - 2 * np.sum( self.Y - Y_pred ) / self.m                   # update weights            self.W = self.W - self.learning_rate * dW            self.b = self.b - self.learning_rate * db                return self          # Hypothetical function  h( x )     def predict( self, X ) :            return X.dot( self.W ) + self.b      # Driver code  def main() :          # Importing dataset        df = pd.read_csv( "salary_data.csv" )    X = df.iloc[:, :-1].values    Y = df.iloc[:, 1].values          # Splitting dataset into train and test set    X_train, X_test, Y_train, Y_test = train_test_split( X, Y,                                                                                       test_size = 1 / 3, random_state = 0 )          # Model training        model = RidgeRegression( iterations = 1000,                                                         learning_rate = 0.01, l2_penality = 1 )    model.fit( X_train, Y_train )          # Prediction on test set    Y_pred = model.predict( X_test )        print( "Predicted values ", np.round( Y_pred[:3], 2 ) )         print( "Real values      ", Y_test[:3] )        print( "Trained W        ", round( model.W, 2 ) )        print( "Trained b        ", round( model.b, 2 ) )          # Visualization on test set         plt.scatter( X_test, Y_test, color = 'blue' )        plt.plot( X_test, Y_pred, color = 'orange' )        plt.title( 'Salary vs Experience' )        plt.xlabel( 'Years of Experience' )        plt.ylabel( 'Salary' )        plt.show()      if __name__ == "__main__" :     main()

Output:

Predicted values  [ 40831.44 122898.14  65078.42]
Real values       [ 37731 122391  57081]
Trained W         9325.76
Trained b         26842.8 Visualization

Note: Ridge regression leads to dimensionality reduction which makes it a computationally efficient model.

Attention reader! Don’t stop learning now. Get hold of all the important Machine Learning Concepts with the Machine Learning Foundation Course at a student-friendly price and become industry ready.

My Personal Notes arrow_drop_up