from __future__ import print_function, division import numpy as np import math from mlfromscratch.utils import normalize, polynomial_features class l1_regularization(): """ Regularization for Lasso Regression """ def __init__(self, alpha): self.alpha = alpha def __call__(self, w): return self.alpha * np.linalg.norm(w) def grad(self, w): return self.alpha * np.sign(w) class l2_regularization(): """ Regularization for Ridge Regression """ def __init__(self, alpha): self.alpha = alpha def __call__(self, w): return self.alpha * 0.5 * w.T.dot(w) def grad(self, w): return self.alpha * w class l1_l2_regularization(): """ Regularization for Elastic Net Regression """ def __init__(self, alpha, l1_ratio=0.5): self.alpha = alpha self.l1_ratio = l1_ratio def __call__(self, w): l1_contr = self.l1_ratio * np.linalg.norm(w) l2_contr = (1 - self.l1_ratio) * 0.5 * w.T.dot(w) return self.alpha * (l1_contr + l2_contr) def grad(self, w): l1_contr = self.l1_ratio * np.sign(w) l2_contr = (1 - self.l1_ratio) * w return self.alpha * (l1_contr + l2_contr) class Regression(object): """ Base regression model. Models the relationship between a scalar dependent variable y and the independent variables X. Parameters: ----------- n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. """ def __init__(self, n_iterations, learning_rate): self.n_iterations = n_iterations self.learning_rate = learning_rate def initialize_weights(self, n_features): """ Initialize weights randomly [-1/N, 1/N] """ limit = 1 / math.sqrt(n_features) self.w = np.random.uniform(-limit, limit, (n_features, )) def fit(self, X, y): # Insert constant ones for bias weights X = np.insert(X, 0, 1, axis=1) self.training_errors = [] self.initialize_weights(n_features=X.shape[1]) # Do gradient descent for n_iterations for i in range(self.n_iterations): y_pred = X.dot(self.w) # Calculate l2 loss mse = np.mean(0.5 * (y - y_pred)**2 + self.regularization(self.w)) self.training_errors.append(mse) # Gradient of l2 loss w.r.t w grad_w = -(y - y_pred).dot(X) + self.regularization.grad(self.w) # Update the weights self.w -= self.learning_rate * grad_w def predict(self, X): # Insert constant ones for bias weights X = np.insert(X, 0, 1, axis=1) y_pred = X.dot(self.w) return y_pred class LinearRegression(Regression): """Linear model. Parameters: ----------- n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. gradient_descent: boolean True or false depending if gradient descent should be used when training. If false then we use batch optimization by least squares. """ def __init__(self, n_iterations=100, learning_rate=0.001, gradient_descent=True): self.gradient_descent = gradient_descent # No regularization self.regularization = lambda x: 0 self.regularization.grad = lambda x: 0 super(LinearRegression, self).__init__(n_iterations=n_iterations, learning_rate=learning_rate) def fit(self, X, y): # If not gradient descent => Least squares approximation of w if not self.gradient_descent: # Insert constant ones for bias weights X = np.insert(X, 0, 1, axis=1) # Calculate weights by least squares (using Moore-Penrose pseudoinverse) U, S, V = np.linalg.svd(X.T.dot(X)) S = np.diag(S) X_sq_reg_inv = V.dot(np.linalg.pinv(S)).dot(U.T) self.w = X_sq_reg_inv.dot(X.T).dot(y) else: super(LinearRegression, self).fit(X, y) class LassoRegression(Regression): """Linear regression model with a regularization factor which does both variable selection and regularization. Model that tries to balance the fit of the model with respect to the training data and the complexity of the model. A large regularization factor with decreases the variance of the model and do para. Parameters: ----------- degree: int The degree of the polynomial that the independent variable X will be transformed to. reg_factor: float The factor that will determine the amount of regularization and feature shrinkage. n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. """ def __init__(self, degree, reg_factor, n_iterations=3000, learning_rate=0.01): self.degree = degree self.regularization = l1_regularization(alpha=reg_factor) super(LassoRegression, self).__init__(n_iterations, learning_rate) def fit(self, X, y): X = normalize(polynomial_features(X, degree=self.degree)) super(LassoRegression, self).fit(X, y) def predict(self, X): X = normalize(polynomial_features(X, degree=self.degree)) return super(LassoRegression, self).predict(X) class PolynomialRegression(Regression): """Performs a non-linear transformation of the data before fitting the model and doing predictions which allows for doing non-linear regression. Parameters: ----------- degree: int The degree of the polynomial that the independent variable X will be transformed to. n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. """ def __init__(self, degree, n_iterations=3000, learning_rate=0.001): self.degree = degree # No regularization self.regularization = lambda x: 0 self.regularization.grad = lambda x: 0 super(PolynomialRegression, self).__init__(n_iterations=n_iterations, learning_rate=learning_rate) def fit(self, X, y): X = polynomial_features(X, degree=self.degree) super(PolynomialRegression, self).fit(X, y) def predict(self, X): X = polynomial_features(X, degree=self.degree) return super(PolynomialRegression, self).predict(X) class RidgeRegression(Regression): """Also referred to as Tikhonov regularization. Linear regression model with a regularization factor. Model that tries to balance the fit of the model with respect to the training data and the complexity of the model. A large regularization factor with decreases the variance of the model. Parameters: ----------- reg_factor: float The factor that will determine the amount of regularization and feature shrinkage. n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. """ def __init__(self, reg_factor, n_iterations=1000, learning_rate=0.001): self.regularization = l2_regularization(alpha=reg_factor) super(RidgeRegression, self).__init__(n_iterations, learning_rate) class PolynomialRidgeRegression(Regression): """Similar to regular ridge regression except that the data is transformed to allow for polynomial regression. Parameters: ----------- degree: int The degree of the polynomial that the independent variable X will be transformed to. reg_factor: float The factor that will determine the amount of regularization and feature shrinkage. n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. """ def __init__(self, degree, reg_factor, n_iterations=3000, learning_rate=0.01, gradient_descent=True): self.degree = degree self.regularization = l2_regularization(alpha=reg_factor) super(PolynomialRidgeRegression, self).__init__(n_iterations, learning_rate) def fit(self, X, y): X = normalize(polynomial_features(X, degree=self.degree)) super(PolynomialRidgeRegression, self).fit(X, y) def predict(self, X): X = normalize(polynomial_features(X, degree=self.degree)) return super(PolynomialRidgeRegression, self).predict(X) class ElasticNet(Regression): """ Regression where a combination of l1 and l2 regularization are used. The ratio of their contributions are set with the 'l1_ratio' parameter. Parameters: ----------- degree: int The degree of the polynomial that the independent variable X will be transformed to. reg_factor: float The factor that will determine the amount of regularization and feature shrinkage. l1_ration: float Weighs the contribution of l1 and l2 regularization. n_iterations: float The number of training iterations the algorithm will tune the weights for. learning_rate: float The step length that will be used when updating the weights. """ def __init__(self, degree=1, reg_factor=0.05, l1_ratio=0.5, n_iterations=3000, learning_rate=0.01): self.degree = degree self.regularization = l1_l2_regularization(alpha=reg_factor, l1_ratio=l1_ratio) super(ElasticNet, self).__init__(n_iterations, learning_rate) def fit(self, X, y): X = normalize(polynomial_features(X, degree=self.degree)) super(ElasticNet, self).fit(X, y) def predict(self, X): X = normalize(polynomial_features(X, degree=self.degree)) return super(ElasticNet, self).predict(X)