PyTorch training loop within a sklearn pipeline
What I am playing around with right now is to work with PyTorch within a pipeline, where all of the preprocessing will be handled.
I am able to make it work. However, the results I am getting are a bit off. The loss function seems to be not decreasing and gets stuck (presumably in local optima?) as the training loop progresses.
I follow the standard PyTorch training loop and wrap it inside the fit method as this is what sklearn wants:
import torch
from sklearn.base import BaseEstimator, TransformerMixin

import torch.nn.functional as F

from IPython.core.debugger import set_trace

# +
import pandas as pd
import seaborn as sns
import numpy as np

from tqdm import tqdm
import random
# -

df = sns.load_dataset(&quot;tips&quot;)
df.head()


# +
class LinearRegressionModel(torch.nn.Module, BaseEstimator, TransformerMixin):
 
    def __init__(self, loss_func = torch.nn.MSELoss()):
        super(LinearRegressionModel, self).__init__()
        self.linear = torch.nn.Linear(3, 1)  # One in and one out
        self.loss_func = loss_func
        self.optimizer = torch.optim.SGD(self.parameters(), lr = 0.01)
 
    def forward(self, x):
        y_pred = F.relu(self.linear(x))
        return y_pred    
    
    def fit(self, X, y):
        
#         set_trace()        

        X = torch.from_numpy(X.astype(np.float32))
        y = torch.from_numpy(y.values.astype(np.float32))
                
        for epoch in tqdm(range(0, 12)):
             
            pred_y = self.forward(X)

            # Compute and print loss
            loss = self.loss_func(pred_y, X)

            # Zero gradients, perform a backward pass,
            # and update the weights.
            self.optimizer.zero_grad()
            loss.backward()
            self.optimizer.step()
            print('epoch {}, loss {}'.format(epoch, loss.item()))            


# +
from sklearn.pipeline import Pipeline

from sklego.preprocessing import PatsyTransformer
# -

my_model = LinearRegressionModel()

pipe = Pipeline([
    (&quot;patsy&quot;, PatsyTransformer(&quot;tip + size&quot;)),
    (&quot;model&quot;, my_model)
])

pipe.fit(df, df['total_bill'])


It is not only due to the model being to simple. If I use sklearn linear regression estimated via stochastic gradient descent (SGDRegressor) the results seem nice. Therefore, I am concluding that problem is within my PyTorch class
# +
from sklearn.linear_model import LinearRegression
from sklearn.metrics import mean_squared_error

pipe2 = Pipeline([
    (&quot;patsy&quot;, PatsyTransformer(&quot;tip + C(size) + C(time)&quot;)),
    (&quot;model&quot;, LinearRegression())
])

pipe2.fit(df, df['total_bill'])
# -

mean_squared_error(df['total_bill'], pipe2.predict(df))





The problem in this implementation is in the fit method.
We are comparing prediction and design matrix
# Compute and print loss
loss = self.loss_func(pred_y, X)

Should be prediction and real value y:
loss = self.loss_func(pred_y, y)

