Add Gamma regressor

skpro/regression/linear/__init__.py

@@ -5,11 +5,13 @@
 from skpro.regression.linear._glm import GLMRegressor
 from skpro.regression.linear._glum import GlumRegressor
 from skpro.regression.linear._sklearn import ARDRegression, BayesianRidge
+from skpro.regression.linear._sklearn_gamma import GammaRegressor
 from skpro.regression.linear._sklearn_poisson import PoissonRegressor
 
 __all__ = [
     "ARDRegression",
     "BayesianRidge",
+    "GammaRegressor",
     "GLMRegressor",
     "GlumRegressor",
     "PoissonRegressor",

skpro/regression/linear/_sklearn_gamma.py

@@ -0,0 +1,246 @@
+"""Adapters to sklearn linear regressors with probabilistic components."""
+
+# copyright: skpro developers, BSD-3-Clause License (see LICENSE file)
+# based on sktime pipelines
+
+import numpy as np
+import pandas as pd
+
+from skpro.regression.base import BaseProbaRegressor
+from skpro.utils.sklearn import prep_skl_df
+
+
+class GammaRegressor(BaseProbaRegressor):
+    """Gamma regression, direct adapter to sklearn GammaRegressor.
+
+    Generalized Linear Model with a Gamma distribution.
+    This regressor uses the 'log' link function.
+
+    Parameters
+    ----------
+    alpha : float, default=1.0
+        Constant that multiplies the penalty term. Defaults to 1.0.
+        See the notes for the exact mathematical meaning of this
+        parameter. alpha = 0 is equivalent to unpenalized GLMs.
+
+    fit_intercept : bool, default=True
+        Whether to fit an intercept term.
+
+    solver : {'lbfgs', 'newton-cholesky'}, default='lbfgs'
+        Algorithm to use in the optimization problem.
+
+    'lbfgs' is an optimization algorithm that approximates the BFGS algorithm
+    'newton-cholesky' uses a Newton-CG variant of Newton's method.
+
+    max_iter : int, default=100
+        The maximal number of iterations for the solver.
+
+    tol : float, default=1e-4
+        The convergence tolerance. If it is not None, training will stop
+        when (loss > best_loss - tol) for n_iter_no_change consecutive
+        epochs.
+
+    verbose : int, default=0
+        For the 'sag' and 'lbfgs' solvers set verbose to any positive
+        number for verbosity.
+
+    warm_start : bool, default=False
+        When set to True, reuse the solution of the previous call to fit as
+        initialization, otherwise, just erase the previous solution.
+
+    Attributes
+    ----------
+    coef_ : array-like of shape (n_features,)
+        Coefficients of the regression model (mean of distribution)
+
+    intercept_ : float
+        Independent term in decision function.
+
+    n_iter_ : int
+        The actual number of iterations before reaching the stopping criterion.
+
+    n_features_in_ : int
+        Number of features seen during :term:'fit'.
+
+    feature_names_in_ : ndarray of shape (n_features,)
+        Names of features seen during :term:'fit'.
+    """
+
+    _tags = {
+        "capability:multioutput": False,
+        "capability:missing": False,
+        "X_inner_mtype": "pd_DataFrame_Table",
+        "y_inner_mtype": "pd_DataFrame_Table",
+    }
+
+    def __init__(
+        self,
+        alpha=1.0,
+        fit_intercept=True,
+        max_iter=100,
+        tol=1e-4,
+        verbose=0,
+        warm_start=False,
+    ):
+        self.alpha = alpha
+        self.fit_intercept = fit_intercept
+        self.max_iter = max_iter
+        self.tol = tol
+        self.verbose = verbose
+        self.warm_start = warm_start
+
+        super().__init__()
+
+        from sklearn.linear_model import GammaRegressor as _GammaRegressor
+
+        skl_estimator = _GammaRegressor(
+            alpha=alpha,
+            fit_intercept=fit_intercept,
+            max_iter=max_iter,
+            tol=tol,
+            verbose=verbose,
+            warm_start=warm_start,
+        )
+
+        self.estimator_ = skl_estimator
+
+    FITTED_PARAMS_TO_FORWARD = [
+        "coef_",
+        "intercept_",
+        "n_iter_",
+    ]
+
+    def _fit(self, X, y):
+        """Fit regressor to training data.
+
+        Writes to self:
+            Sets fitted model attributes ending in "_".
+
+        Parameters
+        ----------
+        X : pandas DataFrame
+            feature instances to fit regressor to
+        y : pandas DataFrame, must be same length as X
+            labels to fit regressor to
+
+        Returns
+        -------
+        self : reference to self
+        """
+        X_inner = prep_skl_df(X).to_numpy()
+        y_inner = prep_skl_df(y).to_numpy()
+
+        self._y_cols = y.columns
+
+        if len(y_inner.shape) > 1 and y_inner.shape[1] == 1:
+            y_inner = y_inner[:, 0]
+
+        estimator = self.estimator_
+        estimator.fit(X=X_inner, y=y_inner)
+
+        for attr in self.FITTED_PARAMS_TO_FORWARD:
+            setattr(self, attr, getattr(estimator, attr))
+
+        n_samples, n_features = X_inner.shape
+        p = n_features + (1 if self.fit_intercept else 0)
+
+        y_pred = estimator.predict(X_inner)
+
+        # Estimate dispersion (phi) using Pearson chi-squared statistic
+        if n_samples > p:
+            self.dispersion_ = np.sum(((y_inner - y_pred) / y_pred) ** 2) / (
+                n_samples - p
+            )
+        else:
+            self.dispersion_ = 1.0
+
+        return self
+
+    def _predict(self, X):
+        """Predict labels for data from features.
+
+        State required:
+            Requires state to be "fitted" = self.is_fitted=True
+
+        Accesses in self:
+            Fitted model attributes ending in "_"
+
+        Parameters
+        ----------
+        X : pandas DataFrame, must have same columns as X in `fit`
+            data to predict labels for
+
+        Returns
+        -------
+        y : pandas DataFrame, same length as `X`, same columns as `y` in `fit`
+            labels predicted for `X`
+        """
+        X_inner = prep_skl_df(X).to_numpy()
+        y_pred = self.estimator_.predict(X_inner)
+        y_pred_df = pd.DataFrame(y_pred, index=X.index, columns=self._y_cols)
+        return y_pred_df
+
+    def _predict_var(self, X):
+        """Compute/return variance predictions."""
+        y_pred = self._predict(X)
+        return self.dispersion_ * (y_pred**2)
+
+    def _predict_proba(self, X):
+        """Predict distribution over labels for data from features.
+
+        State required:
+            Requires state to be "fitted".
+
+        Accesses in self:
+            Fitted model attributes ending in "_"
+
+        Parameters
+        ----------
+        X : pandas DataFrame, must have same columns as X in `fit`
+            data to predict labels for
+
+        Returns
+        -------
+        y_pred : skpro BaseDistribution, same length as `X`
+            labels predicted for `X`
+        """
+        from skpro.distributions.gamma import Gamma
+
+        y_cols = self._y_cols
+        y_pred = self.predict(X).values
+
+        # Gamma distribution parameters: shape (alpha) and rate (beta)
+        alpha = 1.0 / self.dispersion_
+        beta = 1.0 / (self.dispersion_ * y_pred)
+
+        y_pred_proba = Gamma(alpha=alpha, beta=beta, index=X.index, columns=y_cols)
+        return y_pred_proba
+
+    @classmethod
+    def get_test_params(cls, parameter_set="default"):
+        """Return testing parameter settings for the estimator.
+
+        Parameters
+        ----------
+        parameter_set : str, default="default"
+            Name of the set of test parameters to return, for use in tests. If no
+            special parameters are defined for a value, will return `"default"` set.
+
+        Returns
+        -------
+        params : dict or list of dict, default = {}
+            Parameters to create testing instances of the class
+            Each dict are parameters to construct an "interesting" test instance, i.e.,
+            `MyClass(**params)` or `MyClass(**params[i])` creates a valid test instance.
+            `create_test_instance` uses the first (or only) dictionary in `params`
+        """
+        param1 = {}
+        param2 = {
+            "alpha": 2.0,
+            "fit_intercept": False,
+            "max_iter": 200,
+            "tol": 2e-4,
+            "verbose": 1,
+            "warm_start": True,
+        }
+        return [param1, param2]