bayesvalidrox.surrogate_models.surrogate_models.corr_loocv_error

bayesvalidrox.surrogate_models.surrogate_models.corr_loocv_error(clf, psi, coeffs, y)

Calculates the corrected LOO error for regression on regressor matrix psi that generated the coefficients based on [1] and [2].

[1] Blatman, G., 2009. Adaptive sparse polynomial chaos expansions for

uncertainty propagation and sensitivity analysis (Doctoral dissertation, Clermont-Ferrand 2).

[2] Blatman, G. and Sudret, B., 2011. Adaptive sparse polynomial chaos

expansion based on least angle regression. Journal of computational Physics, 230(6), pp.2345-2367.

Parameters

clfobject

Fitted estimator.

psiarray of shape (n_samples, n_features)

The multivariate orthogonal polynomials (regressor).

coeffsarray-like of shape (n_features,)

Estimated cofficients.

yarray of shape (n_samples,)

Target values.

Returns

R_2float

LOOCV Validation score (1-LOOCV erro).

residualarray of shape (n_samples,)

Residual values (y - predicted targets).