benchmarks/bench_glm.py

"""
A comparison of different methods in GLM

Data comes from a random square matrix.

"""
from datetime import datetime
import numpy as np
from sklearn import linear_model


if __name__ == "__main__":

    import matplotlib.pyplot as plt

    n_iter = 40

    time_ridge = np.empty(n_iter)
    time_ols = np.empty(n_iter)
    time_lasso = np.empty(n_iter)

    dimensions = 500 * np.arange(1, n_iter + 1)

    for i in range(n_iter):

        print("Iteration %s of %s" % (i, n_iter))

        n_samples, n_features = 10 * i + 3, 10 * i + 3

        X = np.random.randn(n_samples, n_features)
        Y = np.random.randn(n_samples)

        start = datetime.now()
        ridge = linear_model.Ridge(alpha=1.0)
        ridge.fit(X, Y)
        time_ridge[i] = (datetime.now() - start).total_seconds()

        start = datetime.now()
        ols = linear_model.LinearRegression()
        ols.fit(X, Y)
        time_ols[i] = (datetime.now() - start).total_seconds()

        start = datetime.now()
        lasso = linear_model.LassoLars()
        lasso.fit(X, Y)
        time_lasso[i] = (datetime.now() - start).total_seconds()

    plt.figure("scikit-learn GLM benchmark results")
    plt.xlabel("Dimensions")
    plt.ylabel("Time (s)")
    plt.plot(dimensions, time_ridge, color="r")
    plt.plot(dimensions, time_ols, color="g")
    plt.plot(dimensions, time_lasso, color="b")

    plt.legend(["Ridge", "OLS", "LassoLars"], loc="upper left")
    plt.axis("tight")
    plt.show()