Hi Rose,
That's a good question. Is your y in this case string labels? I believe this is 
bug that occurs because label encoding is happening both in the SGDClassifier 
and the compute_class_weight function. I've posted a work-around on your 
stackoverflow question so you can go ahead and give that a try.
Can you open up an issue for this on github?
Hope that helps,
Danny
From: [email protected]
Date: Thu, 24 Jul 2014 18:12:36 -0700
To: [email protected]
Subject: [Scikit-learn-general] SGDClassifier with class_weight=auto fails      
on linux, but not on osx



When I train an scikit-learn SGDClassifier with these options: 
SGDClassifier(loss='log', class_weight=None, penalty='l2'), training completes 
with no error.





When I train this classifier with class_weight='auto' on my mac, training still 
completes with no error.





Yet when I train this classifier with class_weight='auto' on a linux ec2 
instance, I get this error:


    return self.model.fit(X, y)
  File 
"/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/stochastic_gradient.py",
 line 484, in fit
    sample_weight=sample_weight)
  File 
"/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/stochastic_gradient.py",
 line 388, in _fit
    classes, sample_weight, coef_init, intercept_init)
  File 
"/usr/local/lib/python2.7/dist-packages/sklearn/linear_model/stochastic_gradient.py",
 line 335, in _partial_fit
    y_ind)
  File "/usr/local/lib/python2.7/dist-packages/sklearn/utils/class_weight.py", 
line 43, in compute_class_weight
    raise ValueError("classes should have valid labels that are in y")



What could cause it? I'm running the latest version of scikit-learn. (On 
macosx, it worked on both 0.14 and 0.15. On linux, it failed on both 0.15.0b1 
and 0.15)


Here's the StackOverflow question I 
posted:http://stackoverflow.com/questions/24808821/sgdclassifier-with-class-weight-auto-fails-on-linux-but-not-on-osx







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