alpha --------- - Available in: GLM - Hyperparameter: yes Description ~~~~~~~~~~~ To get the best possible model, GLM needs to find the optimal values of the regularization parameters :math:\alpha and :math:\lambda. When performing regularization, penalties are introduced to the model buidling process to avoid overfitting, to reduce variance of the prediction error, and to handle correlated predictors. The two most common penalized models are ridge regression and LASSO (least absolute shrinkage and selection operator). The elastic net combines both penalties. These types of penalties are described in greater detail in the Regularization <../glm.html#regularization>__ section in GLM for more information. The alpha parameter controls the distribution between the :math:\ell_1 (LASSO) and :math:\ell_2 (ridge regression) penalties. The penalty is defined as :math:P(\alpha,\beta) = (1 - \alpha) /2 ||\beta||{^2_2} + \alpha||\beta||_1 = \sum_j[(1 - \alpha) /2\beta{^2_j} + \alpha|\beta_j|] Given the above, a value of 1.0 represents LASSO, and a value of 0.0 produces ridge regression. This value defaults to 0 if solver=L_BFGS; otherwise, this value defaults to 0.5. This option also works closely with the lambda __ parameter, which controls the amount of regularization applied. The following table describes the type of penalized model that results based on the values specifed for the lambda and alpha options. +------------------+-----------------------+------------------------------------------+ | lambda value | alpha value | Result | +==================+=======================+==========================================+ | lambda == 0 | alpha = any value | No regularization. alpha is ignored. | +------------------+-----------------------+------------------------------------------+ | lambda > 0 | alpha == 0 | Ridge Regression | +------------------+-----------------------+------------------------------------------+ | lambda > 0 | alpha == 1 | LASSO | +------------------+-----------------------+------------------------------------------+ | lambda > 0 | 0 < alpha < 1 | Elastic Net Penalty | +------------------+-----------------------+------------------------------------------+ Related Parameters ~~~~~~~~~~~~~~~~~~ - lambda __ - solver __ Example ~~~~~~~ .. example-code:: .. code-block:: r library(h2o) h2o.init() # import the boston dataset: # this dataset looks at features of the boston suburbs and predicts median housing prices # the original dataset can be found at https://archive.ics.uci.edu/ml/datasets/Housing boston <- h2o.importFile("https://s3.amazonaws.com/h2o-public-test-data/smalldata/gbm_test/BostonHousing.csv") # set the predictor names and the response column name predictors <- colnames(boston)[1:13] # set the response column to "medv", the median value of owner-occupied homes in $1000's response <- "medv" # convert the chas column to a factor (chas = Charles River dummy variable (= 1 if tract bounds river; 0 otherwise)) boston["chas"] <- as.factor(boston["chas"]) # split into train and validation sets boston.splits <- h2o.splitFrame(data = boston, ratios = .8) train <- boston.splits[[1]] valid <- boston.splits[[2]] # try using the alpha parameter: # train your model, where you specify alpha boston_glm <- h2o.glm(x = predictors, y = response, training_frame = train, validation_frame = valid, alpha = .25) # print the mse for the validation data print(h2o.mse(boston_glm, valid=TRUE)) # grid over alpha # select the values for alpha to grid over hyper_params <- list( alpha = c(0, .25, .5, .75, .1) ) # this example uses cartesian grid search because the search space is small # and we want to see the performance of all models. For a larger search space use # random grid search instead: {'strategy': "RandomDiscrete"} # build grid search with previously selected hyperparameters grid <- h2o.grid(x = predictors, y = response, training_frame = train, validation_frame = valid, algorithm = "glm", grid_id = "boston_grid", hyper_params = hyper_params, search_criteria = list(strategy = "Cartesian")) # Sort the grid models by mse sortedGrid <- h2o.getGrid("boston_grid", sort_by = "mse", decreasing = FALSE) sortedGrid .. code-block:: python import h2o from h2o.estimators.glm import H2OGeneralizedLinearEstimator h2o.init() # import the boston dataset: # this dataset looks at features of the boston suburbs and predicts median housing prices # the original dataset can be found at https://archive.ics.uci.edu/ml/datasets/Housing boston = h2o.import_file("https://s3.amazonaws.com/h2o-public-test-data/smalldata/gbm_test/BostonHousing.csv") # set the predictor names and the response column name predictors = boston.columns[:-1] # set the response column to "medv", the median value of owner-occupied homes in$1000's response = "medv" # convert the chas column to a factor (chas = Charles River dummy variable (= 1 if tract bounds river; 0 otherwise)) boston['chas'] = boston['chas'].asfactor() # split into train and validation sets train, valid = boston.split_frame(ratios = [.8]) # try using the alpha parameter: # initialize the estimator then train the model boston_glm = H2OGeneralizedLinearEstimator(alpha = .25) boston_glm.train(x = predictors, y = response, training_frame = train, validation_frame = valid) # print the mse for the validation data print(boston_glm.mse(valid=True)) # grid over alpha # import Grid Search from h2o.grid.grid_search import H2OGridSearch # select the values for alpha to grid over hyper_params = {'alpha': [0, .25, .5, .75, .1]} # this example uses cartesian grid search because the search space is small # and we want to see the performance of all models. For a larger search space use # random grid search instead: {'strategy': "RandomDiscrete"} # initialize the GLM estimator boston_glm_2 = H2OGeneralizedLinearEstimator() # build grid search with previously made GLM and hyperparameters grid = H2OGridSearch(model = boston_glm_2, hyper_params = hyper_params, search_criteria = {'strategy': "Cartesian"}) # train using the grid grid.train(x = predictors, y = response, training_frame = train, validation_frame = valid) # sort the grid models by mse sorted_grid = grid.get_grid(sort_by='mse', decreasing=False) print(sorted_grid)