移除所有无限值:

(并替换为该列的min或Max)

import numpy as np

# generate example matrix
matrix = np.random.rand(5,5)
matrix[0,:] = np.inf
matrix[2,:] = -np.inf
>>> matrix
array([[       inf,        inf,        inf,        inf,        inf],
       [0.87362809, 0.28321499, 0.7427659 , 0.37570528, 0.35783064],
       [      -inf,       -inf,       -inf,       -inf,       -inf],
       [0.72877665, 0.06580068, 0.95222639, 0.00833664, 0.68779902],
       [0.90272002, 0.37357483, 0.92952479, 0.072105  , 0.20837798]])

# find min and max values for each column, ignoring nan, -inf, and inf
mins = [np.nanmin(matrix[:, i][matrix[:, i] != -np.inf]) for i in range(matrix.shape[1])]
maxs = [np.nanmax(matrix[:, i][matrix[:, i] != np.inf]) for i in range(matrix.shape[1])]

# go through matrix one column at a time and replace  + and -infinity 
# with the max or min for that column
for i in range(matrix.shape[1]):
    matrix[:, i][matrix[:, i] == -np.inf] = mins[i]
    matrix[:, i][matrix[:, i] == np.inf] = maxs[i]

>>> matrix
array([[0.90272002, 0.37357483, 0.95222639, 0.37570528, 0.68779902],
       [0.87362809, 0.28321499, 0.7427659 , 0.37570528, 0.35783064],
       [0.72877665, 0.06580068, 0.7427659 , 0.00833664, 0.20837798],
       [0.72877665, 0.06580068, 0.95222639, 0.00833664, 0.68779902],
       [0.90272002, 0.37357483, 0.92952479, 0.072105  , 0.20837798]])

在我的例子中，问题是许多scikit函数返回numpy数组，这些数组没有pandas索引。因此，当我使用那些numpy数组来构建新的dataframe时，有一个索引不匹配，然后我尝试将它们与原始数据混合。

在我的例子中，算法要求数据在(0,1)之间不包含。我非常残酷的解决方案是在所有期望值中添加一个小随机数:

y_train = pd.DataFrame(y_train).applymap(lambda x: x + np.random.rand()/100000.0)["col_name"]
y_train[y_train >= 1] = 0.999999

而y_train在[0,1]的范围内。

这当然不适合所有的情况，因为你会弄乱你的输入数据，但如果你有稀疏的数据，只需要一个快速的预测，这是一个解决方案

在python 3的这个版本中:

/opt/anaconda3/bin/python --version
Python 3.6.0 :: Anaconda 4.3.0 (64-bit)

查看错误的详细信息，我发现导致失败的代码行:

/opt/anaconda3/lib/python3.6/site-packages/sklearn/utils/validation.py in _assert_all_finite(X)
     56             and not np.isfinite(X).all()):
     57         raise ValueError("Input contains NaN, infinity"
---> 58                          " or a value too large for %r." % X.dtype)
     59 
     60 

ValueError: Input contains NaN, infinity or a value too large for dtype('float64').

由此，我能够提取正确的方法来测试我的数据所发生的事情，使用由错误消息给出的失败的相同测试:

然后，通过一个快速而肮脏的循环，我能够发现我的数据确实包含nan:

print(p[:,0].shape)
index = 0
for i in p[:,0]:
    if not np.isfinite(i):
        print(index, i)
    index +=1

(367340,)
4454 nan
6940 nan
10868 nan
12753 nan
14855 nan
15678 nan
24954 nan
30251 nan
31108 nan
51455 nan
59055 nan
...

现在我要做的就是去掉这些下标处的值。

这是它失败的检查:

https://github.com/scikit-learn/scikit-learn/blob/0.17.X/sklearn/utils/validation.py#L51

说

def _assert_all_finite(X):
    """Like assert_all_finite, but only for ndarray."""
    X = np.asanyarray(X)
    # First try an O(n) time, O(1) space solution for the common case that
    # everything is finite; fall back to O(n) space np.isfinite to prevent
    # false positives from overflow in sum method.
    if (X.dtype.char in np.typecodes['AllFloat'] and not np.isfinite(X.sum())
            and not np.isfinite(X).all()):
        raise ValueError("Input contains NaN, infinity"
                         " or a value too large for %r." % X.dtype)

所以确保你的输入中有非NaN值。所有这些值实际上都是浮点值。这些值也不应该是Inf。

我有同样的错误，在我的情况下，X和y是数据帧，所以我必须先将它们转换为矩阵:

X = X.values.astype(np.float)
y = y.values.astype(np.float)

编辑:最初建议的X.as_matrix()已弃用