ValueError: continuous-multioutput is not supporte

I want to run several regression types (Lasso, Ridge, ElasticNet and SVR) on a dataset with around 5,000 rows and 6 features. Linear regression. Use GridSearchCV for cross validation. The code is extensive but here are some critical parts:

def splitTrainTestAdv(df):

    y = df.iloc[:,-5:]  # last 5 columns
    X = df.iloc[:,:-5]  # Except for last 5 columns


    #Scaling and Sampling

    X = StandardScaler().fit_transform(X)

    X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.8, random_state=0)


return X_train, X_test, y_train, y_test

def performSVR(x_train, y_train, X_test, parameter):



    C = parameter[0]
    epsilon = parameter[1] 
    kernel = parameter[2]

    model = svm.SVR(C = C, epsilon = epsilon, kernel = kernel)
    model.fit(x_train, y_train)



return model.predict(X_test)  #prediction for the test

def performRidge(X_train, y_train, X_test, parameter):

    alpha = parameter[0]

    model = linear_model.Ridge(alpha=alpha, normalize=True) 
    model.fit(X_train, y_train)



return model.predict(X_test)  #prediction for the test

MODELS = {
    'lasso': (
        linear_model.Lasso(),
        {'alpha': [0.95]}
    ),
    'ridge': (
        linear_model.Ridge(),
        {'alpha': [0.01]}
        ),
    )
}


def performParameterSelection(model_name, feature, X_test, y_test, X_train, y_train):


    print("# Tuning hyper-parameters for %s" % feature)
    print()

    model, param_grid = MODELS[model_name]
    gs = GridSearchCV(model, param_grid, n_jobs= 1, cv=5, verbose=1, scoring='%s_weighted' % feature)


    gs.fit(X_train, y_train) 


    print("Best parameters set found on development set:")

    print(gs.best_params_)
    print()
    print("Grid scores on development set:")
    print()
    for params, mean_score, scores in gs.grid_scores_:
        print("%0.3f (+/-%0.03f) for %r"
          % (mean_score, scores.std() * 2, params))

    print("Detailed classification report:")
    print()
    print("The model is trained on the full development set.")
    print("The scores are computed on the full evaluation set.")

    y_true, y_pred = y_test, gs.predict(X_test)
    print(classification_report(y_true, y_pred))

soil = pd.read_csv('C:/training.csv', index_col=0)
soil = getDummiedSoilDepth(soil)
np.random.seed(2015)
soil = shuffleData(soil)
soil = soil.drop('Depth', 1)

X_train, X_test, y_train, y_test = splitTrainTestAdv(soil)


scores = ['precision', 'recall']

for score in scores:




    for model in MODELS.keys():

        print '####################'
        print model, score
        print '####################'
        performParameterSelection(model, score, X_test, y_test, X_train, y_train)

You can assume that all required imports are done

I am getting this error and do not know why:

ValueError                                Traceback (most recent call last)

in () 18 print model, score 19 print '####################' ---> 20 performParameterSelection(model, score, X_test, y_test, X_train, y_train) 21

<ipython-input-27-304555776e21> in performParameterSelection(model_name,  feature, X_test, y_test, X_train, y_train)
     12     # cv=5 - constant; verbose - keep writing
     13 
---> 14     gs.fit(X_train, y_train) # Will get grid scores with outputs from ALL models described above
     15 
     16         #pprint(sorted(gs.grid_scores_, key=lambda x: -x.mean_validation_score))

C:\Users\Tony\Anaconda\lib\site-packages\sklearn\grid_search.pyc in fit(self, X, y)

C:\Users\Tony\Anaconda\lib\site-packages\sklearn\metrics\classification.pyc in _check_targets(y_true, y_pred)
     90     if (y_type not in ["binary", "multiclass", "multilabel-indicator",
     91                        "multilabel-sequences"]):
---> 92         raise ValueError("{0} is not supported".format(y_type))
     93 
     94     if y_type in ["binary", "multiclass"]:

ValueError: continuous-multioutput is not supported

I am still very new to Python and this error puzzles me. This should not because I have 6 features, of course. I tried to follow standard buil-in functions.

Please, help

First let's replicate the problem.

First import the libraries needed:

import numpy as np
import pandas as pd 
from sklearn.preprocessing import StandardScaler
from sklearn.cross_validation import train_test_split
from sklearn import linear_model
from sklearn.grid_search import GridSearchCV

Then create some data:

df = pd.DataFrame(np.random.rand(5000,11))
y = df.iloc[:,-5:]  # last 5 columns
X = df.iloc[:,:-5]  # Except for last 5 columns
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.8, random_state=0)

Now we can replicate the error and also see options which do not replicate the error:

This runs OK

gs = GridSearchCV(linear_model.Lasso(), {'alpha': [0.95]}, n_jobs= 1, cv=5, verbose=1)
print gs.fit(X_train, y_train)

This does not

gs = GridSearchCV(linear_model.Lasso(), {'alpha': [0.95]}, n_jobs= 1, cv=5, verbose=1, scoring='recall')
gs.fit(X_train, y_train)

and indeed the error is exactly as you have above; 'continuous multi-output is not supported'.

If you think about the recall measure, it is to do with binary or categorical data - about which we can define things like false positives and so on. At least in my replication of your data, I used continuous data and recall simply is not defined. If you use the default score it works, as you can see above.

So you probably need to look at your predictions and understand why they are continuous (i.e. use a classifier instead of regression). Or use a different score.

As an aside, if you run the regression with only one set of (column of) y values, you still get an error. This time it says more simply 'continuous output is not supported', i.e. the issue is using recall (or precision) on continuous data (whether or not it is multi-output).