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[FEA] Sample weights for Linear Regression #4031

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aerdem4 opened this issue Jul 6, 2021 · 1 comment · Fixed by #4428
Closed

[FEA] Sample weights for Linear Regression #4031

aerdem4 opened this issue Jul 6, 2021 · 1 comment · Fixed by #4428
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? - Needs Triage Need team to review and classify feature request New feature or request inactive-90d

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@aerdem4
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aerdem4 commented Jul 6, 2021

Is your feature request related to a problem? Please describe.
I have tried accelerating a top scoring Kaggle kernel using RAPIDS. It is mostly done but only sample weighted Linear Regression is missing. Without this, the kernel scores significantly worse since it is not possible to optimize for the competition metric without the sample weights.

Describe the solution you'd like
I would like LinearRegression to have sample weights while fitting.

Describe alternatives you've considered
Only possible alternative could be oversampling/undersampling data points but it is not nice.

Additional context
Here is the kernel. GPU version runs 3x faster than the original CPU implementation but scores much worse: https://www.kaggle.com/aerdem4/accelerating-trading-on-gpu-via-rapids
@aerdem4 aerdem4 added ? - Needs Triage Need team to review and classify feature request New feature or request labels Jul 6, 2021
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This issue has been labeled inactive-90d due to no recent activity in the past 90 days. Please close this issue if no further response or action is needed. Otherwise, please respond with a comment indicating any updates or changes to the original issue and/or confirm this issue still needs to be addressed.

@lowener lowener mentioned this issue Dec 6, 2021
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rapids-bot bot pushed a commit that referenced this issue Mar 10, 2022
@lowener
Add support for sample_weights in LinearRegression (#4428)
fc94e5f 
Closes #4031.
Scikit-learn is rescaling the data ([here](https://github.com/scikit-learn/scikit-learn/blob/0d378913be6d7e485b792ea36e9268be31ed52d0/sklearn/linear_model/_base.py#L313)) to take into account the sample_weight parameter.

Authors:
  - Micka (https://github.com/lowener)

Approvers:
  - Dante Gama Dessavre (https://github.com/dantegd)
  - Corey J. Nolet (https://github.com/cjnolet)

URL: #4428
vimarsh6739 pushed a commit to vimarsh6739/cuml that referenced this issue Oct 9, 2023
@lowener
Add support for sample_weights in LinearRegression (rapidsai#4428)
1dddd93 
Closes rapidsai#4031.
Scikit-learn is rescaling the data ([here](https://github.com/scikit-learn/scikit-learn/blob/0d378913be6d7e485b792ea36e9268be31ed52d0/sklearn/linear_model/_base.py#L313)) to take into account the sample_weight parameter.

Authors:
  - Micka (https://github.com/lowener)

Approvers:
  - Dante Gama Dessavre (https://github.com/dantegd)
  - Corey J. Nolet (https://github.com/cjnolet)

URL: rapidsai#4428
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Add support for sample_weights in LinearRegression lowener/cuml
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