QuantileRegressor

classsklearn.linear_model.QuantileRegressor(*, quantile=0.5, alpha=1.0, fit_intercept=True, solver='highs', solver_options=None)[source]

Linear regression model that predicts conditional quantiles.

The linear QuantileRegressor optimizes the pinball loss for a desired quantile and is robust to outliers.

This model uses an L1 regularization like Lasso.

Read more in the User Guide.

Added in version 1.0.

Parameters:

quantilefloat, default=0.5

The quantile that the model tries to predict. It must be strictly between 0 and 1. If 0.5 (default), the model predicts the 50% quantile, i.e. the median.

alphafloat, default=1.0

Regularization constant that multiplies the L1 penalty term.

fit_interceptbool, default=True

Whether or not to fit the intercept.

solver{‘highs-ds’, ‘highs-ipm’, ‘highs’, ‘interior-point’, ‘revised simplex’}, default=’highs’

Method used by scipy.optimize.linprog to solve the linear programming formulation.

It is recommended to use the highs methods because they are the fastest ones. Solvers “highs-ds”, “highs-ipm” and “highs” support sparse input data and, in fact, always convert to sparse csc.

From scipy>=1.11.0, “interior-point” is not available anymore.

Changed in version 1.4: The default of solver changed to "highs" in version 1.4.

solver_optionsdict, default=None

Additional parameters passed to scipy.optimize.linprog as options. If None and if solver='interior-point', then {"lstsq": True} is passed to scipy.optimize.linprog for the sake of stability.

Attributes:

coef_array of shape (n_features,)

Estimated coefficients for the features.

intercept_float

The intercept of the model, aka bias term.

n_features_in_int

Number of features seen during fit.

Added in version 0.24.

feature_names_in_ndarray of shape (n_features_in_,)

Names of features seen during fit. Defined only when X has feature names that are all strings.

Added in version 1.0.

n_iter_int

The actual number of iterations performed by the solver.

See also

Lasso

The Lasso is a linear model that estimates sparse coefficients with l1 regularization.

HuberRegressor

Linear regression model that is robust to outliers.

Examples

>>> from sklearn.linear_model import QuantileRegressor
>>> import numpy as np
>>> n_samples, n_features = 10, 2
>>> rng = np.random.RandomState(0)
>>> y = rng.randn(n_samples)
>>> X = rng.randn(n_samples, n_features)
>>> # the two following lines are optional in practice
>>> from sklearn.utils.fixes import sp_version, parse_version
>>> reg = QuantileRegressor(quantile=0.8).fit(X, y)
>>> np.mean(y <= reg.predict(X))
np.float64(0.8)

fit(X, y, sample_weight=None)[source]

Fit the model according to the given training data.

Parameters:

X{array-like, sparse matrix} of shape (n_samples, n_features)

Training data.

yarray-like of shape (n_samples,)

Target values.

sample_weightarray-like of shape (n_samples,), default=None

Sample weights.

Returns:

selfobject

Returns self.

get_metadata_routing()[source]

Get metadata routing of this object.

Please check User Guide on how the routing mechanism works.

Returns:

routingMetadataRequest

A MetadataRequest encapsulating routing information.

get_params(deep=True)[source]

Get parameters for this estimator.

Parameters:

deepbool, default=True

If True, will return the parameters for this estimator and contained subobjects that are estimators.

Returns:

paramsdict

Parameter names mapped to their values.

predict(X)[source]

Predict using the linear model.

Parameters:

Xarray-like or sparse matrix of shape (n_samples, n_features)

Samples.

Returns:

Cndarray of shape (n_samples,)

Predicted values.

score(X, y, sample_weight=None)[source]

Return coefficient of determination on test data.

The coefficient of determination, \(R^2\), is defined as \((1 - \frac{u}{v})\), where \(u\) is the residual sum of squares ((y_true - y_pred)** 2).sum() and \(v\) is the total sum of squares ((y_true - y_true.mean()) ** 2).sum(). The best possible score is 1.0 and it can be negative (because the model can be arbitrarily worse). A constant model that always predicts the expected value of y, disregarding the input features, would get a \(R^2\) score of 0.0.

Parameters:

Xarray-like of shape (n_samples, n_features)

Test samples. For some estimators this may be a precomputed kernel matrix or a list of generic objects instead with shape (n_samples, n_samples_fitted), where n_samples_fitted is the number of samples used in the fitting for the estimator.

yarray-like of shape (n_samples,) or (n_samples, n_outputs)

True values for X.

sample_weightarray-like of shape (n_samples,), default=None

Sample weights.

Returns:

scorefloat

\(R^2\) of self.predict(X) w.r.t. y.

Notes

The \(R^2\) score used when calling score on a regressor uses multioutput='uniform_average' from version 0.23 to keep consistent with default value of r2_score. This influences the score method of all the multioutput regressors (except for MultiOutputRegressor).

set_fit_request(*, sample_weight:bool|None|str='$UNCHANGED$') → QuantileRegressor[source]

Configure whether metadata should be requested to be passed to the fit method.

Note that this method is only relevant when this estimator is used as a sub-estimator within a meta-estimator and metadata routing is enabled with enable_metadata_routing=True (see sklearn.set_config). Please check the User Guide on how the routing mechanism works.

The options for each parameter are:

• True: metadata is requested, and passed to fit if provided. The request is ignored if metadata is not provided.
• False: metadata is not requested and the meta-estimator will not pass it to fit.
• None: metadata is not requested, and the meta-estimator will raise an error if the user provides it.
• str: metadata should be passed to the meta-estimator with this given alias instead of the original name.

The default (sklearn.utils.metadata_routing.UNCHANGED) retains the existing request. This allows you to change the request for some parameters and not others.

Added in version 1.3.

Parameters:

sample_weightstr, True, False, or None, default=sklearn.utils.metadata_routing.UNCHANGED

Metadata routing for sample_weight parameter in fit.

Returns:

selfobject

The updated object.

set_params(**params)[source]

Set the parameters of this estimator.

The method works on simple estimators as well as on nested objects (such as Pipeline). The latter have parameters of the form <component>__<parameter> so that it’s possible to update each component of a nested object.

Parameters:

**paramsdict

Estimator parameters.

Returns:

selfestimator instance

Estimator instance.

set_score_request(*, sample_weight:bool|None|str='$UNCHANGED$') → QuantileRegressor[source]

Configure whether metadata should be requested to be passed to the score method.

Note that this method is only relevant when this estimator is used as a sub-estimator within a meta-estimator and metadata routing is enabled with enable_metadata_routing=True (see sklearn.set_config). Please check the User Guide on how the routing mechanism works.

The options for each parameter are:

• True: metadata is requested, and passed to score if provided. The request is ignored if metadata is not provided.
• False: metadata is not requested and the meta-estimator will not pass it to score.
• None: metadata is not requested, and the meta-estimator will raise an error if the user provides it.
• str: metadata should be passed to the meta-estimator with this given alias instead of the original name.

The default (sklearn.utils.metadata_routing.UNCHANGED) retains the existing request. This allows you to change the request for some parameters and not others.

Added in version 1.3.

Parameters:

sample_weightstr, True, False, or None, default=sklearn.utils.metadata_routing.UNCHANGED

Metadata routing for sample_weight parameter in score.

Returns:

selfobject

The updated object.

Gallery examples

Quantile regression