scikit-learn/examples/ensemble/plot_stack_predictors.py

"""
=================================
Combine predictors using stacking
=================================

Stacking refers to a method to blend estimators. In this strategy, some
estimators are individually fitted on some training data while a final
estimator is trained using the stacked predictions of these base estimators.

In this example, we illustrate the use case in which different regressors are
stacked together and a final linear penalized regressor is used to output the
prediction. We compare the performance of each individual regressor with the
stacking strategy. Stacking slightly improves the overall performance.

"""
print(__doc__)

# Authors: Guillaume Lemaitre <g.lemaitre58@gmail.com>
# License: BSD 3 clause

###############################################################################
# The function ``plot_regression_results`` is used to plot the predicted and
# true targets.

import matplotlib.pyplot as plt


def plot_regression_results(ax, y_true, y_pred, title, scores, elapsed_time):
    """Scatter plot of the predicted vs true targets."""
    ax.plot([y_true.min(), y_true.max()],
            [y_true.min(), y_true.max()],
            '--r', linewidth=2)
    ax.scatter(y_true, y_pred, alpha=0.2)

    ax.spines['top'].set_visible(False)
    ax.spines['right'].set_visible(False)
    ax.get_xaxis().tick_bottom()
    ax.get_yaxis().tick_left()
    ax.spines['left'].set_position(('outward', 10))
    ax.spines['bottom'].set_position(('outward', 10))
    ax.set_xlim([y_true.min(), y_true.max()])
    ax.set_ylim([y_true.min(), y_true.max()])
    ax.set_xlabel('Measured')
    ax.set_ylabel('Predicted')
    extra = plt.Rectangle((0, 0), 0, 0, fc="w", fill=False,
                          edgecolor='none', linewidth=0)
    ax.legend([extra], [scores], loc='upper left')
    title = title + '\n Evaluation in {:.2f} seconds'.format(elapsed_time)
    ax.set_title(title)


###############################################################################
# Stack of predictors on a single data set
###############################################################################
# It is sometimes tedious to find the model which will best perform on a given
# dataset. Stacking provide an alternative by combining the outputs of several
# learners, without the need to choose a model specifically. The performance of
# stacking is usually close to the best model and sometimes it can outperform
# the prediction performance of each individual model.
#
# Here, we combine 3 learners (linear and non-linear) and use a ridge regressor
# to combine their outputs together.

from sklearn.ensemble import StackingRegressor
from sklearn.ensemble import RandomForestRegressor
from sklearn.experimental import enable_hist_gradient_boosting  # noqa
from sklearn.ensemble import HistGradientBoostingRegressor
from sklearn.linear_model import LassoCV
from sklearn.linear_model import RidgeCV

estimators = [
    ('Random Forest', RandomForestRegressor(random_state=42)),
    ('Lasso', LassoCV()),
    ('Gradient Boosting', HistGradientBoostingRegressor(random_state=0))
]
stacking_regressor = StackingRegressor(
    estimators=estimators, final_estimator=RidgeCV()
)


###############################################################################
# We used the Boston data set (prediction of house prices). We check the
# performance of each individual predictor as well as the stack of the
# regressors.

import time
import numpy as np
from sklearn.datasets import load_boston
from sklearn.model_selection import cross_validate, cross_val_predict

X, y = load_boston(return_X_y=True)

fig, axs = plt.subplots(2, 2, figsize=(9, 7))
axs = np.ravel(axs)

for ax, (name, est) in zip(axs, estimators + [('Stacking Regressor',
                                               stacking_regressor)]):
    start_time = time.time()
    score = cross_validate(est, X, y,
                           scoring=['r2', 'neg_mean_absolute_error'],
                           n_jobs=-1, verbose=0)
    elapsed_time = time.time() - time.time()

    y_pred = cross_val_predict(est, X, y, n_jobs=-1, verbose=0)
    plot_regression_results(
        ax, y, y_pred,
        name,
        (r'$R^2={:.2f} \pm {:.2f}$' + '\n' + r'$MAE={:.2f} \pm {:.2f}$')
        .format(np.mean(score['test_r2']),
                np.std(score['test_r2']),
                -np.mean(score['test_neg_mean_absolute_error']),
                np.std(score['test_neg_mean_absolute_error'])),
        elapsed_time)

plt.suptitle('Single predictors versus stacked predictors')
plt.tight_layout()
plt.subplots_adjust(top=0.9)
plt.show()

###############################################################################
# The stacked regressor will combine the strengths of the different regressors.
# However, we also see that training the stacked regressor is much more
# computationally expensive.