sklearn线性回归详解

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在线性回归中，我们想要建立一个模型，来拟合一个因变量 y 与一个或多个独立自变量(预测变量) x 之间的关系。

给定：

数据集

{(x(1),y(1)),...,(x(m),y(m))}{(x(1),y(1)),...,(x(m),y(m))}

\left\{ \left( x^{\left( 1 \right)},y^{\left( 1 \right)} \right),\; ...,\; \left(x^{\left( m \right)},y^{\left( m \right)} \right) \right\}

xixix_{i}是d-维向量Xi=(x(i)1,...,x(i)d)Xi=(x1(i),...,xd(i))X^{i}\; =\; \left( x_{1}^{\left( i \right)},\; ...,\; x_{d}^{\left( i \right)} \right)

y(i)y(i)y^{(i)}是一个目标变量，它是一个标量

线性回归模型可以理解为一个非常简单的神经网络：

它有一个实值加权向量w=(w(i),...,w(d))w=(w(i),...,w(d))w\; =\; \left( w^{\left( i \right)},\; ...,\; w^{\left( d \right)} \right)
它有一个实值偏置量 b
它使用恒等函数作为其激活函数

线性回归模型可以使用以下方法进行训练

a) 梯度下降法

b) 正态方程(封闭形式解)： w=(XTX)−1XTyw=(XTX)−1XTyw\; =\; \left( X^{T}X \right)^{-1}X^{T}y

其中 X 是一个矩阵，其形式为(m,nfeatures)(m,nfeatures)\left( m,\; n_{featu\mbox{re}s} \right)，包含所有训练样本的维度信息。

而正态方程需要计算(XTX)(XTX)\left( X^{T}X \right)的转置。这个操作的计算复杂度介于O(n2.4features)O(nfeatures2.4)O\left( n_{featu\mbox{re}s}^{2.4} \right)和O(n3features)O(nfeatures3)O\left( n_{featu\mbox{re}s}^{3} \right)之间，而这取决于所选择的实现方法。因此，如果训练集中数据的特征数量很大，那么使用正态方程训练的过程将变得非常缓慢。

线性回归模型的训练过程有不同的步骤。首先(在步骤 0 中)，模型的参数将被初始化。在达到指定训练次数或参数收敛前，重复以下其他步骤。

第 0 步：

用0 (或小的随机值)来初始化权重向量和偏置量，或者直接使用正态方程计算模型参数

第 1 步(只有在使用梯度下降法训练时需要)：

计算输入的特征与权重值的线性组合，这可以通过矢量化和矢量传播来对所有训练样本进行处理：
y˙=X⋅w+by˙=X⋅w+b\dot{y}\; =\; X\; \cdot \; w\; +b

其中 X 是所有训练样本的维度矩阵，其形式为(m,nfeatures)(m,nfeatures)\left( m,\; n_{featu\mbox{re}s} \right)；这里我用· 表示∧∧\wedge 。

第 2 步(只有在使用梯度下降法训练时需要)：

用均方误差计算训练集上的损失：J(w,b)=1m∑mi=1(y˙(i)−y(i))2J(w,b)=1m∑i=1m(y˙(i)−y(i))2J\left( w,b \right)\; =\; \frac{1}{m}\sum_{i=1}^{m}{\left( \dot{y}^{\left( i \right)}\; -\; y^{\left( i \right)} \right)^{2}}

第 3 步(只有在使用梯度下降法训练时需要):

对每个参数，计算其对损失函数的偏导数：

∂J∂wj=2m∑mi=1(y˙(i)−y(i))x(i)j∂J∂wj=2m∑i=1m(y˙(i)−y(i))xj(i)\frac{\partial J}{\partial w_{j}}\; =\; \frac{2}{m}\sum_{i=1}^{m}{\left( \dot{y}^{\left( i \right)}\; -\; y^{\left( i \right)} \right)}x_{j}^{\left( i \right)}

∂J∂b=2m∑mi=1(y˙(i)−y(i))∂J∂b=2m∑i=1m(y˙(i)−y(i))\frac{\partial J}{\partial b}\; =\; \frac{2}{m}\sum_{i=1}^{m}{\left( \dot{y}^{\left( i \right)}\; -\; y^{\left( i \right)} \right)}

所有偏导数的梯度计算如下：

ΔwJ=2mXT(y˙−y)ΔwJ=2mXT(y˙−y)\Delta _{w}J\; =\; \frac{2}{m}X^{T}\; \left( \dot{y}\; -\; y \right)

ΔbJ=2m(y˙−y)ΔbJ=2m(y˙−y)\Delta _{b}J\; =\; \frac{2}{m}\left( \dot{y}\; -\; y \right)

第 4 步(只有在使用梯度下降法训练时需要）:

更新权重向量和偏置量：

w=w−ηΔwJw=w−ηΔwJw\; =\; w\; -\; \eta \Delta _{w}J

ΔbJ=2m(y˙−y)ΔbJ=2m(y˙−y)\Delta _{b}J\; =\; \frac{2}{m}\left( \dot{y}\; -\; y \right)

其中η表示学习率

代码实现

数据集

import numpy as np
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
np.random.seed(123)X = 2 * np.random.rand(500, 1)
y = 5 + 3 * X + np.random.randn(500, 1)
fig = plt.figure(figsize=(8,6))
plt.scatter(X, y)
plt.title("Dataset")
plt.xlabel("First feature")
plt.ylabel("Second feature")
plt.show()

X_train, X_test, y_train, y_test = train_test_split(X, y)
print(f'Shape X_train: {X_train.shape}')
print(f'Shape y_train: {y_train.shape}')
print(f'Shape X_test: {X_test.shape}')
print(f'Shape y_test: {y_test.shape}')

Shape X_train: (375, 1)
Shape y_train: (375, 1)
Shape X_test: (125, 1)
Shape y_test: (125, 1)

线性回归分类源码编译

 class LinearRegression:def __init__(self):passdef train_gradient_descent(self, X, y, learning_rate=0.01, n_iters=100):"""Trains a linear regression model using gradient descent"""# Step 0: Initialize the parametersn_samples, n_features = X.shapeself.weights = np.zeros(shape=(n_features,1))self.bias = 0costs = []for i in range(n_iters):# Step 1: Compute a linear combination of the input features and weightsy_predict = np.dot(X, self.weights) + self.bias# Step 2: Compute cost over training setcost = (1 / n_samples) * np.sum((y_predict - y)**2)costs.append(cost)if i % 100 == 0:print(f"Cost at iteration {i}: {cost}")# Step 3: Compute the gradientsdJ_dw = (2 / n_samples) * np.dot(X.T, (y_predict - y))dJ_db = (2 / n_samples) * np.sum((y_predict - y)) # Step 4: Update the parametersself.weights = self.weights - learning_rate * dJ_dwself.bias = self.bias - learning_rate * dJ_dbreturn self.weights, self.bias, costsdef train_normal_equation(self, X, y):"""Trains a linear regression model using the normal equation"""self.weights = np.dot(np.dot(np.linalg.inv(np.dot(X.T, X)), X.T), y)self.bias = 0return self.weights, self.biasdef predict(self, X):return np.dot(X, self.weights) + self.bias

使用梯度下降进行训练

regressor = LinearRegression()
w_trained, b_trained, costs = regressor.train_gradient_descent(X_train, y_train, learning_rate=0.005, n_iters=600)
fig = plt.figure(figsize=(8,6))
plt.plot(np.arange(600), costs)
plt.title("Development of cost during training")
plt.xlabel("Number of iterations")
plt.ylabel("Cost")
plt.show()

Cost at iteration 0: 66.45256981003433
Cost at iteration 100: 2.208434614609594
Cost at iteration 200: 1.2797812854182806
Cost at iteration 300: 1.2042189195356685
Cost at iteration 400: 1.1564867816573
Cost at iteration 500: 1.121391041394467Text(0,0.5,'Cost')

测试（梯度下降模型）

n_samples, _ = X_train.shape
n_samples_test, _ = X_test.shapey_p_train = regressor.predict(X_train)
y_p_test = regressor.predict(X_test)error_train =  (1 / n_samples) * np.sum((y_p_train - y_train) ** 2)
error_test =  (1 / n_samples_test) * np.sum((y_p_test - y_test) ** 2)print(f"Error on training set: {np.round(error_train, 4)}")
print(f"Error on test set: {np.round(error_test)}")

Error on training set: 1.0955
Error on test set: 1.0

使用正规方程（normal equation）训练

X_b_train = np.c_[np.ones((n_samples)), X_train]
X_b_test = np.c_[np.ones((n_samples_test)), X_test]reg_normal = LinearRegression()
w_trained = reg_normal.train_normal_equation(X_b_train, y_train)

测试（正规方程模型）

y_p_train = reg_normal.predict(X_b_train)
y_p_test = reg_normal.predict(X_b_test)error_train =  (1 / n_samples) * np.sum((y_p_train - y_train) ** 2)
error_test =  (1 / n_samples_test) * np.sum((y_p_test - y_test) ** 2)print(f"Error on training set: {np.round(error_train, 4)}")
print(f"Error on test set: {np.round(error_test, 4)}")

Error on training set: 1.0228
Error on test set: 1.0432

可视化测试预测

fig = plt.figure(figsize=(8,6))
plt.scatter(X_train, y_train)
plt.scatter(X_test, y_p_test)
plt.xlabel("First feature")
plt.ylabel("Second feature")
plt.show()

Text(0,0.5,'Second feature')

转载注明出处：
http://ihoge.cn/2018/Logistic-regression.html