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Make final calculation of coefficients optional. #3

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Make final calculation of coefficients optional. #3

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12 changes: 9 additions & 3 deletions fracridge/fracridge.py
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Original file line number Diff line number Diff line change
Expand Up @@ -27,7 +27,7 @@
__all__ = ["fracridge", "vec_len", "FracRidge"]


def fracridge(X, y, fracs=None, tol=1e-6):
def fracridge(X, y, fracs=None, tol=1e-6, return_coef=True):
"""
Approximates alpha parameters to match desired fractions of OLS length.

Expand All @@ -45,6 +45,9 @@ def fracridge(X, y, fracs=None, tol=1e-6):
OLS solution. If 1d array, the shape is (f,).
Default: np.arange(.1, 1.1, .1)

return_coef : bool, optional
Whether to calculate the resulting coefficients, or return only
the best alphas.

Returns
-------
Expand Down Expand Up @@ -116,10 +119,13 @@ def fracridge(X, y, fracs=None, tol=1e-6):
sc = seltsq / (seltsq + targetalphas[np.newaxis].T)
coef[..., ii] = (sc * ols_coef[..., ii]).T

coef = np.reshape(v_t.T @ coef.reshape((first_dim, ff * bb)),
if return_coef:
coef = np.reshape(v_t.T @ coef.reshape((first_dim, ff * bb)),
(pp, ff, bb))

return coef.squeeze(), alphas
return coef.squeeze(), alphas
else:
return alphas


class FracRidge(BaseEstimator, MultiOutputMixin):
Expand Down
2 changes: 2 additions & 0 deletions fracridge/tests/test_fracridge.py
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Original file line number Diff line number Diff line change
Expand Up @@ -39,6 +39,8 @@ def test_fracridge_ols(nn, pp, bb):
coef = coef[:, -1, ...]
assert np.allclose(coef, coef_ols, atol=10e-3)
assert np.all(np.diff(alpha, axis=0) <= 0)
alpha = fracridge(X, y, fracs=fracs, return_coef=False)
assert np.all(np.diff(alpha, axis=0) <= 0)


@pytest.mark.parametrize("frac", [0.1, 0.23, 1])
Expand Down