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fix(metrics): correct explained_variance residual-variance term #447

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fix(metrics): correct explained_variance residual-variance term #447

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9 changes: 7 additions & 2 deletions src/metrics_regression.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -137,7 +137,9 @@ pub trait SingleTargetRegression<F: Float, T: AsSingleTargets<Elem = F>>:
let mean_error = diff.mean().ok_or(Error::NotEnoughSamples)?;

Ok(F::one()
- (diff.mapv_into(|x| x * x).sum() - mean_error)
- diff
.mapv_into(|x| (x - mean_error) * (x - mean_error))
.sum()
/ (single_target_compare_to
.mapv(|x| (x - mean) * (x - mean))
.sum()
Expand Down Expand Up @@ -474,7 +476,10 @@ mod tests {
let abs_err_from_arr1 = prediction.explained_variance(st_dataset.targets()).unwrap();
let prediction: DatasetBase<_, _> = (records.view(), prediction).into();
let abs_err_from_ds = prediction.explained_variance(&st_dataset).unwrap();
assert_abs_diff_eq!(abs_err_from_arr1, 0.8, epsilon = 1e-5);
// Explained variance is 1 - Var(y_true - y_pred) / Var(y_true), matching
// sklearn.metrics.explained_variance_score([0.0,0.1,0.2,0.3,0.4],
// [0.1,0.3,0.2,0.5,0.7]) == 0.48
assert_abs_diff_eq!(abs_err_from_arr1, 0.48, epsilon = 1e-5);
assert_abs_diff_eq!(abs_err_from_arr1, abs_err_from_ds);
}

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