lasso

Lasso or elastic net regularization for linear models

Syntax

B = lasso(X,y)

B = lasso(X,y,Name,Value)

[B,FitInfo] = lasso(___)

Description

B = lasso(X,y) returns fitted least-squares regression coefficients for linear models of the predictor data X and the response y. Each column of B corresponds to a particular regularization coefficient in Lambda. By default, lasso performs lasso regularization using a geometric sequence of Lambda values.

B = lasso(X,y,Name,Value) fits regularized regressions with additional options specified by one or more name-value pair arguments. For example, 'Alpha',0.5 sets elastic net as the regularization method, with the parameter Alpha equal to 0.5.

[B,FitInfo] = lasso(___) also returns the structure FitInfo, which contains information about the fit of the models, using any of the input arguments in the previous syntaxes.

Examples

Remove Redundant Predictors Using Lasso Regularization

Construct a data set with redundant predictors and identify those predictors by using lasso.

Create a matrix X of 100 five-dimensional normal variables. Create a response vector y from just two components of X, and add a small amount of noise.

rng default % For reproducibility
X = randn(100,5);
weights = [0;2;0;-3;0]; % Only two nonzero coefficients
y = X*weights + randn(100,1)*0.1; % Small added noise

Construct the default lasso fit.

B = lasso(X,y);

Find the coefficient vector for the 25th Lambda value in B.

B(:,25)

ans = 5×1

         0
    1.6093
         0
   -2.5865
         0

lasso identifies and removes the redundant predictors.

Remove Redundant Predictors by Using Cross-Validated Fits

Construct a data set with redundant predictors and identify those predictors by using cross-validated lasso.

Create a matrix X of 100 five-dimensional normal variables. Create a response vector y from two components of X, and add a small amount of noise.

rng default % For reproducibility
X = randn(100,5);
weights = [0;2;0;-3;0]; % Only two nonzero coefficients
y = X*weights + randn(100,1)*0.1; % Small added noise

Construct the lasso fit by using 10-fold cross-validation with labeled predictor variables.

[B,FitInfo] = lasso(X,y,'CV',10,'PredictorNames',{'x1','x2','x3','x4','x5'});

Display the variables in the model that corresponds to the minimum cross-validated mean squared error (MSE).

idxLambdaMinMSE = FitInfo.IndexMinMSE;
minMSEModelPredictors = FitInfo.PredictorNames(B(:,idxLambdaMinMSE)~=0)

minMSEModelPredictors = 1x2 cell array
    {'x2'}    {'x4'}

Display the variables in the sparsest model within one standard error of the minimum MSE.

idxLambda1SE = FitInfo.Index1SE;
sparseModelPredictors = FitInfo.PredictorNames(B(:,idxLambda1SE)~=0)

sparseModelPredictors = 1x2 cell array
    {'x2'}    {'x4'}

In this example, lasso identifies the same predictors for the two models and removes the redundant predictors.

Lasso Plot with Cross-Validated Fits

Visually examine the cross-validated error of various levels of regularization.

Load the sample data.

load acetylene

Create a design matrix with interactions and no constant term.

X = [x1 x2 x3];
D = x2fx(X,'interaction');
D(:,1) = []; % No constant term

Construct the lasso fit using 10-fold cross-validation. Include the FitInfo output so you can plot the result.

rng default % For reproducibility 
[B,FitInfo] = lasso(D,y,'CV',10);

Plot the cross-validated fits.

lassoPlot(B,FitInfo,'PlotType','CV');
legend('show') % Show legend

The green circle and dotted line locate the Lambda with minimum cross-validation error. The blue circle and dotted line locate the point with minimum cross-validation error plus one standard deviation.

Predict Values Using Elastic Net Regularization

Predict students' exam scores using lasso and the elastic net method.

Load the examgrades data set.

load examgrades
X = grades(:,1:4);
y = grades(:,5);

Split the data into training and test sets.

n = length(y);
c = cvpartition(n,'HoldOut',0.3);
idxTrain = training(c,1);
idxTest = ~idxTrain;
XTrain = X(idxTrain,:);
yTrain = y(idxTrain);
XTest = X(idxTest,:);
yTest = y(idxTest);

Find the coefficients of a regularized linear regression model using 10-fold cross-validation and the elastic net method with Alpha = 0.75. Use the largest Lambda value such that the mean squared error (MSE) is within one standard error of the minimum MSE.

[B,FitInfo] = lasso(XTrain,yTrain,'Alpha',0.75,'CV',10);
idxLambda1SE = FitInfo.Index1SE;
coef = B(:,idxLambda1SE);
coef0 = FitInfo.Intercept(idxLambda1SE);

Predict exam scores for the test data. Compare the predicted values to the actual exam grades using a reference line.

yhat = XTest*coef + coef0;
hold on
scatter(yTest,yhat)
plot(yTest,yTest)
xlabel('Actual Exam Grades')
ylabel('Predicted Exam Grades')
hold off

Input Arguments

X — Predictor data

numeric matrix

Predictor data, specified as a numeric matrix. Each row represents one observation, and each column represents one predictor variable.

Data Types: single | double

y — Response data

numeric vector

Response data, specified as a numeric vector. y has length n, where n is the number of rows of X. The response y(i) corresponds to the ith row of X.

Data Types: single | double

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: lasso(X,y,'Alpha',0.75,'CV',10) performs elastic net regularization with 10-fold cross-validation. The 'Alpha',0.75 name-value pair argument sets the parameter used in the elastic net optimization.

'AbsTol' — Absolute error tolerance

1e–4 (default) | positive scalar

Absolute error tolerance used to determine the convergence of the ADMM Algorithm, specified as the comma-separated pair consisting of 'AbsTol' and a positive scalar. The algorithm converges when successive estimates of the coefficient vector differ by an amount less than AbsTol.

Note

This option applies only when you use lasso on tall arrays. See Extended Capabilities for more information.

Example: 'AbsTol',1e–3

Data Types: single | double

'Alpha' — Weight of lasso versus ridge optimization

1 (default) | positive scalar

Weight of lasso (L¹) versus ridge (L²) optimization, specified as the comma-separated pair consisting of 'Alpha' and a positive scalar value in the interval (0,1]. The value Alpha = 1 represents lasso regression, Alpha close to 0 approaches ridge regression, and other values represent elastic net optimization. See Elastic Net.

Example: 'Alpha',0.5

Data Types: single | double

'B0' — Initial values for x-coefficients in ADMM Algorithm

vector of zeros (default) | numeric vector

Initial values for x-coefficients in ADMM Algorithm, specified as the comma-separated pair consisting of 'B0' and a numeric vector.

Note

This option applies only when you use lasso on tall arrays. See Extended Capabilities for more information.

Data Types: single | double

'CV' — Cross-validation specification for estimating mean squared error

'resubstitution' (default) | positive integer scalar | cvpartition object

Cross-validation specification for estimating the mean squared error (MSE), specified as the comma-separated pair consisting of 'CV' and one of the following:

• 'resubstitution' — lasso uses X and y to fit the model and to estimate the MSE without cross-validation.

• Positive scalar integer K — lasso uses K-fold cross-validation.

• cvpartition object cvp — lasso uses the cross-validation method expressed in cvp. You cannot use a 'leaveout' partition with lasso.

Example: 'CV',3

'DFmax' — Maximum number of nonzero coefficients

Inf (default) | positive integer scalar

Maximum number of nonzero coefficients in the model, specified as the comma-separated pair consisting of 'DFmax' and a positive integer scalar. lasso returns results only for Lambda values that satisfy this criterion.

Example: 'DFmax',5

Data Types: single | double

'Lambda' — Regularization coefficients

nonnegative vector

Regularization coefficients, specified as the comma-separated pair consisting of 'Lambda' and a vector of nonnegative values. See Lasso.

• If you do not supply Lambda, then lasso calculates the largest value of Lambda that gives a nonnull model. In this case, LambdaRatio gives the ratio of the smallest to the largest value of the sequence, and NumLambda gives the length of the vector.

• If you supply Lambda, then lasso ignores LambdaRatio and NumLambda.

• If Standardize is true, then Lambda is the set of values used to fit the models with the X data standardized to have zero mean and a variance of one.

The default is a geometric sequence of NumLambda values, with only the largest value able to produce B = 0.

Example: 'Lambda',linspace(0,1)

Data Types: single | double

'LambdaRatio' — Ratio of smallest to largest Lambda values

1e–4 (default) | positive scalar

Ratio of the smallest to the largest Lambda values when you do not supply Lambda, specified as the comma-separated pair consisting of 'LambdaRatio' and a positive scalar.

If you set LambdaRatio = 0, then lasso generates a default sequence of Lambda values and replaces the smallest one with 0.

Example: 'LambdaRatio',1e–2

Data Types: single | double

'MaxIter' — Maximum number of iterations allowed

positive integer scalar

Maximum number of iterations allowed, specified as the comma-separated pair consisting of 'MaxIter' and a positive integer scalar.

If the algorithm executes MaxIter iterations before reaching the convergence tolerance RelTol, then the function stops iterating and returns a warning message.

The function can return more than one warning when NumLambda is greater than 1.

Default values are 1e5 for standard data and 1e4 for tall arrays.

Example: 'MaxIter',1e3

Data Types: single | double

'MCReps' — Number of Monte Carlo repetitions for cross-validation

1 (default) | positive integer scalar

Number of Monte Carlo repetitions for cross-validation, specified as the comma-separated pair consisting of 'MCReps' and a positive integer scalar.

• If CV is 'resubstitution' or a cvpartition of type 'resubstitution', then MCReps must be 1.

• If CV is a cvpartition of type 'holdout', then MCReps must be greater than 1.

Example: 'MCReps',5

Data Types: single | double

'NumLambda' — Number of Lambda values

100 (default) | positive integer scalar

Number of Lambda values lasso uses when you do not supply Lambda, specified as the comma-separated pair consisting of 'NumLambda' and a positive integer scalar. lasso can return fewer than NumLambda fits if the residual error of the fits drops below a threshold fraction of the variance of y.

Example: 'NumLambda',50

Data Types: single | double

'Options' — Option to cross-validate in parallel and specify random streams

structure

Option to cross-validate in parallel and specify the random streams, specified as the comma-separated pair consisting of 'Options' and a structure. This option requires Parallel Computing Toolbox™.

Create the Options structure with statset. The option fields are:

• UseParallel — Set to true to compute in parallel. The default is false.

• UseSubstreams — Set to true to compute in parallel in a reproducible fashion. For reproducibility, set Streams to a type allowing substreams: 'mlfg6331_64' or 'mrg32k3a'. The default is false.

• Streams — A RandStream object or cell array consisting of one such object. If you do not specify Streams, then lasso uses the default stream.

Example: 'Options',statset('UseParallel',true)

Data Types: struct

'PredictorNames' — Names of predictor variables

{} (default) | string array | cell array of character vectors

Names of the predictor variables, in the order in which they appear in X, specified as the comma-separated pair consisting of 'PredictorNames' and a string array or cell array of character vectors.

Example: 'PredictorNames',{'x1','x2','x3','x4'}

Data Types: string | cell

'RelTol' — Convergence threshold for coordinate descent algorithm

1e–4 (default) | positive scalar

Convergence threshold for the coordinate descent algorithm [3], specified as the comma-separated pair consisting of 'RelTol' and a positive scalar. The algorithm terminates when successive estimates of the coefficient vector differ in the L² norm by a relative amount less than RelTol.

Example: 'RelTol',5e–3

Data Types: single | double

'Rho' — Augmented Lagrangian parameter

positive scalar

Augmented Lagrangian parameter ρ for the ADMM Algorithm, specified as the comma-separated pair consisting of 'Rho' and a positive scalar. The default is automatic selection.

Note

This option applies only when you use lasso on tall arrays. See Extended Capabilities for more information.

Example: 'Rho',2

Data Types: single | double

'Standardize' — Flag for standardizing predictor data before fitting models

true (default) | false

Flag for standardizing the predictor data X before fitting the models, specified as the comma-separated pair consisting of 'Standardize' and either true or false. If Standardize is true, then the X data is scaled to have zero mean and a variance of one. Standardize affects whether the regularization is applied to the coefficients on the standardized scale or the original scale. The results are always presented on the original data scale.

X and y are always centered.

Example: 'Standardize',false

Data Types: logical

'U0' — Initial value of scaled dual variable

vector of zeros (default) | numeric vector

Initial value of the scaled dual variable u in the ADMM Algorithm, specified as the comma-separated pair consisting of 'U0' and a numeric vector.

Note

This option applies only when you use lasso on tall arrays. See Extended Capabilities for more information.

Data Types: single | double

'Weights' — Observation weights

1/n*ones(n,1) (default) | nonnegative vector

Observation weights, specified as the comma-separated pair consisting of 'Weights' and a nonnegative vector. Weights has length n, where n is the number of rows of X. The lasso function scales Weights to sum to 1.

Data Types: single | double

Output Arguments

B — Fitted coefficients

numeric matrix

Fitted coefficients, returned as a numeric matrix. B is a p-by-L matrix, where p is the number of predictors (columns) in X, and L is the number of Lambda values. You can specify the number of Lambda values using the NumLambda name-value pair argument.

The coefficient corresponding to the intercept term is a field in FitInfo.

Data Types: single | double

FitInfo — Fit information of models

structure

Fit information of the linear models, returned as a structure with the fields described in this table.

Field in FitInfo	Description
Intercept	Intercept term β0 for each linear model, a 1-by-L vector
Lambda	Lambda parameters in ascending order, a 1-by-L vector
Alpha	Value of the Alpha parameter, a scalar
DF	Number of nonzero coefficients in B for each value of Lambda, a 1-by-L vector
MSE	Mean squared error (MSE), a 1-by-L vector
PredictorNames	Value of the PredictorNames parameter, stored as a cell array of character vectors

If you set the CV name-value pair argument to cross-validate, the FitInfo structure contains these additional fields.

Field in FitInfo	Description
SE	Standard error of MSE for each Lambda, as calculated during cross-validation, a 1-by-L vector
LambdaMinMSE	Lambda value with the minimum MSE, a scalar
Lambda1SE	Largest Lambda value such that MSE is within one standard error of the minimum MSE, a scalar
IndexMinMSE	Index of Lambda with the value LambdaMinMSE, a scalar
Index1SE	Index of Lambda with the value Lambda1SE, a scalar

More About

Lasso

For a given value of λ, a nonnegative parameter, lasso solves the problem

$$\underset{{\beta }_0,\beta }{\min }\left(\frac{1}{2N}{\displaystyle \sum _{i=1}^N{\left(y_i-{\beta }_0-x_i^T\beta \right)}^2}+\lambda {\displaystyle \sum _{j=1}^p\left|{\beta }_j\right|}\right).$$

• N is the number of observations.

• y_i is the response at observation i.

• x_i is data, a vector of length p at observation i.

• λ is a nonnegative regularization parameter corresponding to one value of Lambda.

• The parameters β₀ and β are a scalar and a vector of length p, respectively.

As λ increases, the number of nonzero components of β decreases.

The lasso problem involves the L¹ norm of β, as contrasted with the elastic net algorithm.

Elastic Net

For α strictly between 0 and 1, and nonnegative λ, elastic net solves the problem

$$\underset{{\beta }_0,\beta }{\min }\left(\frac{1}{2N}{\displaystyle \sum _{i=1}^N{\left(y_i-{\beta }_0-x_i^T\beta \right)}^2}+\lambda P_{\alpha }\left(\beta \right)\right),$$

where

$$P_{\alpha }\left(\beta \right)=\frac{(1-\alpha )}{2}{\Vert \beta \Vert }_2^2+\alpha {\Vert \beta \Vert }_1={\displaystyle \sum _{j=1}^p\left(\frac{(1-\alpha )}{2}{\beta }_j^2+\alpha \left|{\beta }_j\right|\right)}.$$

Elastic net is the same as lasso when α = 1. For other values of α, the penalty term P_α(β) interpolates between the L¹ norm of β and the squared L² norm of β. As α shrinks toward 0, elastic net approaches ridge regression.

Algorithms

ADMM Algorithm

When operating on tall arrays, lasso uses an algorithm based on the Alternating Direction Method of Multipliers (ADMM) [5]. The notation used here is the same as in the reference paper. This method solves problems of the form

Minimize $$l\left(x\right)+g\left(z\right)$$

Subject to $$Ax+Bz=c$$

Using this notation, the lasso regression problem is

Minimize $$l\left(x\right)+g\left(z\right)=\frac{1}{2}{\Vert Ax-b\Vert }_2^2+\lambda {\Vert z\Vert }_1$$

Subject to $$x-z=0$$

Because the loss function $$l\left(x\right)=\frac{1}{2}{\Vert Ax-b\Vert }_2^2$$ is quadratic, the iterative updates performed by the algorithm amount to solving a linear system of equations with a single coefficient matrix but several right-hand sides. The updates performed by the algorithm during each iteration are

$$\begin{array}{l}{x}^{k+1}={\left(A^{T}A+\rho I\right)}^{-1}\left(A^{T}b+\rho \left(z^k-u^k\right)\right)\\ z^{k+1}=S_{\lambda /\rho }\left(x^{k+1}+u^k\right)\\ u^{k+1}=u^k+x^{k+1}-z^{k+1}\end{array}$$

A is the dataset (a tall array), x contains the coefficients, ρ is the penalty parameter (augmented Lagrangian parameter), b is the response (a tall array), and S is the soft thresholding operator.

$$S_{\kappa }\left(a\right)=\{\begin{array}{c}\begin{array}{cc}a-\kappa ,& a>\kappa \end{array}\\ \begin{array}{cc}0,& \left|a\right|\le \kappa \end{array}\\ \begin{array}{cc}a+\kappa ,& a<\kappa \end{array}\end{array}.$$

lasso solves the linear system using Cholesky factorization because the coefficient matrix $$A^{T}A+\rho I$$ is symmetric and positive definite. Because $$\rho$$ does not change between iterations, the Cholesky factorization is cached between iterations.

Even though A and b are tall arrays, they appear only in the terms $$A^{T}A$$ and $$A^{T}b$$. The results of these two matrix multiplications are small enough to fit in memory, so they are precomputed and the iterative updates between iterations are performed entirely within memory.

References

[1] Tibshirani, R. “Regression Shrinkage and Selection via the Lasso.” Journal of the Royal Statistical Society. Series B, Vol. 58, No. 1, 1996, pp. 267–288.

[2] Zou, H., and T. Hastie. “Regularization and Variable Selection via the Elastic Net.” Journal of the Royal Statistical Society. Series B, Vol. 67, No. 2, 2005, pp. 301–320.

[3] Friedman, J., R. Tibshirani, and T. Hastie. “Regularization Paths for Generalized Linear Models via Coordinate Descent.” Journal of Statistical Software. Vol. 33, No. 1, 2010. https://www.jstatsoft.org/v33/i01

[4] Hastie, T., R. Tibshirani, and J. Friedman. The Elements of Statistical Learning. 2nd edition. New York: Springer, 2008.

[5] Boyd, S. “Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers.” Foundations and Trends in Machine Learning. Vol. 3, No. 1, 2010, pp. 1–122.

Extended Capabilities

Tall Arrays

Calculate with arrays that have more rows than fit in memory.

This function supports tall arrays for out-of-memory data with some limitations.

• With tall arrays, lasso uses an algorithm based on ADMM (Alternating Direction Method of Multipliers).

• No elastic net support. The 'Alpha' parameter is always 1.

• No cross-validation ('CV' parameter) support, which includes the related parameter 'MCReps'.

• The output FitInfo does not contain the additional fields 'SE', 'LambdaMinMSE', 'Lambda1SE', 'IndexMinMSE', and 'Index1SE'.

• The 'Options' parameter is not supported because it does not contain options that apply to the ADMM algorithm. You can tune the ADMM algorithm using name-value pair arguments.

• Supported name-value pair arguments are:

  • 'Lambda'

  • 'LambdaRatio'

  • 'NumLambda'

  • 'Standardize'

  • 'PredictorNames'

  • 'RelTol'

  • 'Weights'

• Additional name-value pair arguments to control the ADMM algorithm are:

  • 'Rho' — Augmented Lagrangian parameter, ρ. The default value is automatic selection.

  • 'AbsTol' — Absolute tolerance used to determine convergence. The default value is 1e–4.

  • 'MaxIter' — Maximum number of iterations. The default value is 1e4.

  • 'B0' — Initial values for the coefficients x. The default value is a vector of zeros.

  • 'U0' — Initial values of the scaled dual variable u. The default value is a vector of zeros.

For more information, see Tall Arrays (MATLAB).

Automatic Parallel Support

Accelerate code by automatically running computation in parallel using Parallel Computing Toolbox™.

To run in parallel, set the 'UseParallel' option to true.

Set the 'UseParallel' field of the options structure to true using statset and specify the 'Options' name-value pair argument in the call to this function.

For example: 'Options',statset('UseParallel',true)

For more information, see the 'Options' name-value pair argument.

For more general information about parallel computing, see Run MATLAB Functions with Automatic Parallel Support (Parallel Computing Toolbox).