Most Sklearn Users Don't Know This About Its LinearRegression Implementation
Always review what a specific implementation is hiding underneath.
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Let’s get to today’s post now.
Sklearn's LinearRegression class implements the ordinary least square (OLS) method to find the best fit.
Some important characteristics of OLS are:
It is a deterministic algorithm. If run multiple times, it will always converge to the same weights.
It has no hyperparameters.
It involves matrix inversion, which is cubic in relation to the no. of features. This gets computationally expensive with many features.
Read this answer to learn more about OLS’ run-time complexity: StackOverflow.
is a stochastic algorithm. It finds an approximate solution using optimization.
involves gradient descent, which is relatively inexpensive.
Now, if you have many features, Sklearn's LinearRegression will be computationally expensive.
This is because it relies on OLS, which involves matrix inversion. And as mentioned above, inverting a matrix is cubic in relation to the total features.
This explains the run-time improvement provided by Sklearn’s SGDRegresor over LinearRegression.
When you have many features, avoid using Sklearn's LinearRegression.
Instead, use the SGDRegressor.
This will help you:
Avoid memory errors.
Implement batching (if needed). I have covered this in one of my previous posts here: A Lesser-Known Feature of Sklearn To Train Models on Large Datasets.
👉 Over to you: What are some tradeoffs between using LinearRegression vs. SGDRegressor?
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