sklearn RidgeCV with sample_weight - scikit-learn

Question

I'm trying to do a weighted Ridge Regression with sklearn. However, the code breaks when I call the fit method. The exception I get is :
Exception: Data must be 1-dimensional
But I'm sure (by checking through print-statements) that the data I'm passing has the right shapes.
print temp1.shape #(781, 21)
print temp2.shape #(781,)
print weights.shape #(781,)
result=RidgeCV(normalize=True).fit(temp1,temp2,sample_weight=weights)
What could be going wrong ??
Here's the whole output :
---------------------------------------------------------------------------
Exception Traceback (most recent call last)
<ipython-input-65-a5b1eba5d9cf> in <module>()
22
23
---> 24 result=RidgeCV(normalize=True).fit(temp2,temp1, sample_weight=weights)
25
26
/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/ridge.pyc in fit(self, X, y, sample_weight)
868 gcv_mode=self.gcv_mode,
869 store_cv_values=self.store_cv_values)
--> 870 estimator.fit(X, y, sample_weight=sample_weight)
871 self.alpha_ = estimator.alpha_
872 if self.store_cv_values:
/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/ridge.pyc in fit(self, X, y, sample_weight)
793 else alpha)
794 if error:
--> 795 out, c = _errors(weighted_alpha, y, v, Q, QT_y)
796 else:
797 out, c = _values(weighted_alpha, y, v, Q, QT_y)
/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/ridge.pyc in _errors(self, alpha, y, v, Q, QT_y)
685 w = 1.0 / (v + alpha)
686 c = np.dot(Q, self._diag_dot(w, QT_y))
--> 687 G_diag = self._decomp_diag(w, Q)
688 # handle case where y is 2-d
689 if len(y.shape) != 1:
/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/ridge.pyc in _decomp_diag(self, v_prime, Q)
672 def _decomp_diag(self, v_prime, Q):
673 # compute diagonal of the matrix: dot(Q, dot(diag(v_prime), Q^T))
--> 674 return (v_prime * Q ** 2).sum(axis=-1)
675
676 def _diag_dot(self, D, B):
/usr/local/lib/python2.7/dist-packages/pandas/core/ops.pyc in wrapper(left, right, name)
531 return left._constructor(wrap_results(na_op(lvalues, rvalues)),
532 index=left.index, name=left.name,
--> 533 dtype=dtype)
534 return wrapper
535
/usr/local/lib/python2.7/dist-packages/pandas/core/series.pyc in __init__(self, data, index, dtype, name, copy, fastpath)
209 else:
210 data = _sanitize_array(data, index, dtype, copy,
--> 211 raise_cast_failure=True)
212
213 data = SingleBlockManager(data, index, fastpath=True)
/usr/local/lib/python2.7/dist-packages/pandas/core/series.pyc in _sanitize_array(data, index, dtype, copy, raise_cast_failure)
2683 elif subarr.ndim > 1:
2684 if isinstance(data, np.ndarray):
-> 2685 raise Exception('Data must be 1-dimensional')
2686 else:
2687 subarr = _asarray_tuplesafe(data, dtype=dtype)
Exception: Data must be 1-dimensional

Answer 1

The error seems to be due to sample_weights being a Pandas series rather than a numpy array:
from sklearn.linear_model import RidgeCV
temp1 = pd.DataFrame(np.random.rand(781, 21))
temp2 = pd.Series(temp1.sum(1))
weights = pd.Series(1 + 0.1 * np.random.rand(781))
result = RidgeCV(normalize=True).fit(temp1, temp2,
sample_weight=weights)
# Exception: Data must be 1-dimensional
If you use a numpy array instead, the error goes away:
result = RidgeCV(normalize=True).fit(temp1, temp2,
sample_weight=weights.values)
This seems to be a bug; I've opened a scikit-learn issue to report this.