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"""
==================================================
Balance model complexity and cross-validated score
==================================================
This example demonstrates how to balance model complexity and cross-validated score by
finding a decent accuracy within 1 standard deviation of the best accuracy score while
minimising the number of :class:`~sklearn.decomposition.PCA` components [1]. It uses
:class:`~sklearn.model_selection.GridSearchCV` with a custom refit callable to select
the optimal model.
The figure shows the trade-off between cross-validated score and the number
of PCA components. The balanced case is when `n_components=10` and `accuracy=0.88`,
which falls into the range within 1 standard deviation of the best accuracy
score.
[1] Hastie, T., Tibshirani, R.,, Friedman, J. (2001). Model Assessment and
Selection. The Elements of Statistical Learning (pp. 219-260). New York,
NY, USA: Springer New York Inc..
"""
# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause
import matplotlib.pyplot as plt
import numpy as np
import polars as pl
from sklearn.datasets import load_digits
from sklearn.decomposition import PCA
from sklearn.linear_model import LogisticRegression
from sklearn.model_selection import GridSearchCV, ShuffleSplit
from sklearn.pipeline import Pipeline
# %%
# Introduction
# ------------
#
# When tuning hyperparameters, we often want to balance model complexity and
# performance. The "one-standard-error" rule is a common approach: select the simplest
# model whose performance is within one standard error of the best model's performance.
# This helps to avoid overfitting by preferring simpler models when their performance is
# statistically comparable to more complex ones.
# %%
# Helper functions
# ----------------
#
# We define two helper functions:
# 1. `lower_bound`: Calculates the threshold for acceptable performance
# (best score - 1 std)
# 2. `best_low_complexity`: Selects the model with the fewest PCA components that
# exceeds this threshold
def lower_bound(cv_results):
"""
Calculate the lower bound within 1 standard deviation
of the best `mean_test_scores`.
Parameters
----------
cv_results : dict of numpy(masked) ndarrays
See attribute cv_results_ of `GridSearchCV`
Returns
-------
float
Lower bound within 1 standard deviation of the
best `mean_test_score`.
"""
best_score_idx = np.argmax(cv_results["mean_test_score"])
return (
cv_results["mean_test_score"][best_score_idx]
- cv_results["std_test_score"][best_score_idx]
)
def best_low_complexity(cv_results):
"""
Balance model complexity with cross-validated score.
Parameters
----------
cv_results : dict of numpy(masked) ndarrays
See attribute cv_results_ of `GridSearchCV`.
Return
------
int
Index of a model that has the fewest PCA components
while has its test score within 1 standard deviation of the best
`mean_test_score`.
"""
threshold = lower_bound(cv_results)
candidate_idx = np.flatnonzero(cv_results["mean_test_score"] >= threshold)
best_idx = candidate_idx[
cv_results["param_reduce_dim__n_components"][candidate_idx].argmin()
]
return best_idx
# %%
# Set up the pipeline and parameter grid
# --------------------------------------
#
# We create a pipeline with two steps:
# 1. Dimensionality reduction using PCA
# 2. Classification using LogisticRegression
#
# We'll search over different numbers of PCA components to find the optimal complexity.
pipe = Pipeline(
[
("reduce_dim", PCA(random_state=42)),
("classify", LogisticRegression(random_state=42, C=0.01, max_iter=1000)),
]
)
param_grid = {"reduce_dim__n_components": [6, 8, 10, 15, 20, 25, 35, 45, 55]}
# %%
# Perform the search with GridSearchCV
# ------------------------------------
#
# We use `GridSearchCV` with our custom `best_low_complexity` function as the refit
# parameter. This function will select the model with the fewest PCA components that
# still performs within one standard deviation of the best model.
grid = GridSearchCV(
pipe,
# Use a non-stratified CV strategy to make sure that the inter-fold
# standard deviation of the test scores is informative.
cv=ShuffleSplit(n_splits=30, random_state=0),
n_jobs=1, # increase this on your machine to use more physical cores
param_grid=param_grid,
scoring="accuracy",
refit=best_low_complexity,
return_train_score=True,
)
# %%
# Load the digits dataset and fit the model
# -----------------------------------------
X, y = load_digits(return_X_y=True)
grid.fit(X, y)
# %%
# Visualize the results
# ---------------------
#
# We'll create a bar chart showing the test scores for different numbers of PCA
# components, along with horizontal lines indicating the best score and the
# one-standard-deviation threshold.
n_components = grid.cv_results_["param_reduce_dim__n_components"]
test_scores = grid.cv_results_["mean_test_score"]
# Create a polars DataFrame for better data manipulation and visualization
results_df = pl.DataFrame(
{
"n_components": n_components,
"mean_test_score": test_scores,
"std_test_score": grid.cv_results_["std_test_score"],
"mean_train_score": grid.cv_results_["mean_train_score"],
"std_train_score": grid.cv_results_["std_train_score"],
"mean_fit_time": grid.cv_results_["mean_fit_time"],
"rank_test_score": grid.cv_results_["rank_test_score"],
}
)
# Sort by number of components
results_df = results_df.sort("n_components")
# Calculate the lower bound threshold
lower = lower_bound(grid.cv_results_)
# Get the best model information
best_index_ = grid.best_index_
best_components = n_components[best_index_]
best_score = grid.cv_results_["mean_test_score"][best_index_]
# Add a column to mark the selected model
results_df = results_df.with_columns(
pl.when(pl.col("n_components") == best_components)
.then(pl.lit("Selected"))
.otherwise(pl.lit("Regular"))
.alias("model_type")
)
# Get the number of CV splits from the results
n_splits = sum(
1
for key in grid.cv_results_.keys()
if key.startswith("split") and key.endswith("test_score")
)
# Extract individual scores for each split
test_scores = np.array(
[
[grid.cv_results_[f"split{i}_test_score"][j] for i in range(n_splits)]
for j in range(len(n_components))
]
)
train_scores = np.array(
[
[grid.cv_results_[f"split{i}_train_score"][j] for i in range(n_splits)]
for j in range(len(n_components))
]
)
# Calculate mean and std of test scores
mean_test_scores = np.mean(test_scores, axis=1)
std_test_scores = np.std(test_scores, axis=1)
# Find best score and threshold
best_mean_score = np.max(mean_test_scores)
threshold = best_mean_score - std_test_scores[np.argmax(mean_test_scores)]
# Create a single figure for visualization
fig, ax = plt.subplots(figsize=(12, 8))
# Plot individual points
for i, comp in enumerate(n_components):
# Plot individual test points
plt.scatter(
[comp] * n_splits,
test_scores[i],
alpha=0.2,
color="blue",
s=20,
label="Individual test scores" if i == 0 else "",
)
# Plot individual train points
plt.scatter(
[comp] * n_splits,
train_scores[i],
alpha=0.2,
color="green",
s=20,
label="Individual train scores" if i == 0 else "",
)
# Plot mean lines with error bands
plt.plot(
n_components,
np.mean(test_scores, axis=1),
"-",
color="blue",
linewidth=2,
label="Mean test score",
)
plt.fill_between(
n_components,
np.mean(test_scores, axis=1) - np.std(test_scores, axis=1),
np.mean(test_scores, axis=1) + np.std(test_scores, axis=1),
alpha=0.15,
color="blue",
)
plt.plot(
n_components,
np.mean(train_scores, axis=1),
"-",
color="green",
linewidth=2,
label="Mean train score",
)
plt.fill_between(
n_components,
np.mean(train_scores, axis=1) - np.std(train_scores, axis=1),
np.mean(train_scores, axis=1) + np.std(train_scores, axis=1),
alpha=0.15,
color="green",
)
# Add threshold lines
plt.axhline(
best_mean_score,
color="#9b59b6", # Purple
linestyle="--",
label="Best score",
linewidth=2,
)
plt.axhline(
threshold,
color="#e67e22", # Orange
linestyle="--",
label="Best score - 1 std",
linewidth=2,
)
# Highlight selected model
plt.axvline(
best_components,
color="#9b59b6", # Purple
alpha=0.2,
linewidth=8,
label="Selected model",
)
# Set titles and labels
plt.xlabel("Number of PCA components", fontsize=12)
plt.ylabel("Score", fontsize=12)
plt.title("Model Selection: Balancing Complexity and Performance", fontsize=14)
plt.grid(True, linestyle="--", alpha=0.7)
plt.legend(
bbox_to_anchor=(1.02, 1),
loc="upper left",
borderaxespad=0,
)
# Set axis properties
plt.xticks(n_components)
plt.ylim((0.85, 1.0))
# # Adjust layout
plt.tight_layout()
# %%
# Print the results
# -----------------
#
# We print information about the selected model, including its complexity and
# performance. We also show a summary table of all models using polars.
print("Best model selected by the one-standard-error rule:")
print(f"Number of PCA components: {best_components}")
print(f"Accuracy score: {best_score:.4f}")
print(f"Best possible accuracy: {np.max(test_scores):.4f}")
print(f"Accuracy threshold (best - 1 std): {lower:.4f}")
# Create a summary table with polars
summary_df = results_df.select(
pl.col("n_components"),
pl.col("mean_test_score").round(4).alias("test_score"),
pl.col("std_test_score").round(4).alias("test_std"),
pl.col("mean_train_score").round(4).alias("train_score"),
pl.col("std_train_score").round(4).alias("train_std"),
pl.col("mean_fit_time").round(3).alias("fit_time"),
pl.col("rank_test_score").alias("rank"),
)
# Add a column to mark the selected model
summary_df = summary_df.with_columns(
pl.when(pl.col("n_components") == best_components)
.then(pl.lit("*"))
.otherwise(pl.lit(""))
.alias("selected")
)
print("\nModel comparison table:")
print(summary_df)
# %%
# Conclusion
# ----------
#
# The one-standard-error rule helps us select a simpler model (fewer PCA components)
# while maintaining performance statistically comparable to the best model.
# This approach can help prevent overfitting and improve model interpretability
# and efficiency.
#
# In this example, we've seen how to implement this rule using a custom refit
# callable with :class:`~sklearn.model_selection.GridSearchCV`.
#
# Key takeaways:
# 1. The one-standard-error rule provides a good rule of thumb to select simpler models
# 2. Custom refit callables in :class:`~sklearn.model_selection.GridSearchCV` allow for
# flexible model selection strategies
# 3. Visualizing both train and test scores helps identify potential overfitting
#
# This approach can be applied to other model selection scenarios where balancing
# complexity and performance is important, or in cases where a use-case specific
# selection of the "best" model is desired.
# Display the figure
plt.show()
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