def runARDRegressor(self):
lm = ARDRegression(fit_intercept=True, normalize=True)
print("runARDRegressor\n")
lm.fit(self.m_X_train, self.m_y_train)
predictY = lm.predict(self.m_X_test)
score = lm.score(self.m_X_test, self.m_y_test)
predictTraingY = lm.predict(self.m_X_train)
self.displayPredictPlot(predictY)
self.displayResidualPlot(predictY, predictTraingY)
self.dispalyModelResult(lm, predictY, score)
def task2(data):
df = data
dfreg = df.loc[:, ['Adj Close', 'Volume']]
dfreg['HL_PCT'] = (df['High'] - df['Low']) / df['Close'] * 100.0
dfreg['PCT_change'] = (df['Close'] - df['Open']) / df['Open'] * 100.0
# Drop missing value
dfreg.fillna(value=-99999, inplace=True)
# We want to separate 1 percent of the data to forecast
forecast_out = int(math.ceil(0.01 * len(dfreg)))
# Separating the label here, we want to predict the AdjClose
forecast_col = 'Adj Close'
dfreg['label'] = dfreg[forecast_col].shift(-forecast_out)
X = np.array(dfreg.drop(['label'], 1))
# Scale the X so that everyone can have the same distribution for linear regression
X = preprocessing.scale(X)
# Finally We want to find Data Series of late X and early X (train) for model generation and evaluation
X_lately = X[-forecast_out:]
X = X[:-forecast_out]
# Separate label and identify it as y
y = np.array(dfreg['label'])
y = y[:-forecast_out]
#Split data
X_train, X_test, y_train, y_test = train_test_split(X,
y,
test_size=0.2,
random_state=0)
##################
##################
##################
# Linear regression
clfreg = LinearRegression(n_jobs=-1)
clfreg.fit(X_train, y_train)
# Quadratic Regression 2
clfpoly2 = make_pipeline(PolynomialFeatures(2), Ridge())
clfpoly2.fit(X_train, y_train)
# Quadratic Regression 3
clfpoly3 = make_pipeline(PolynomialFeatures(3), Ridge())
clfpoly3.fit(X_train, y_train)
# KNN Regression
clfknn = KNeighborsRegressor(n_neighbors=2)
clfknn.fit(X_train, y_train)
# Lasso Regression
clflas = Lasso()
clflas.fit(X_train, y_train)
# Multitask Lasso Regression
# clfmtl = MultiTaskLasso(alpha=1.)
# clfmtl.fit(X_train, y_train).coef_
# Bayesian Ridge Regression
clfbyr = BayesianRidge()
clfbyr.fit(X_train, y_train)
# Lasso LARS Regression
clflar = LassoLars(alpha=.1)
clflar.fit(X_train, y_train)
# Orthogonal Matching Pursuit Regression
clfomp = OrthogonalMatchingPursuit(n_nonzero_coefs=2)
clfomp.fit(X_train, y_train)
# Automatic Relevance Determination Regression
clfard = ARDRegression(compute_score=True)
clfard.fit(X_train, y_train)
# Logistic Regression
# clflgr = linear_model.LogisticRegression(penalty='l1', solver='saga', tol=1e-6, max_iter=int(1e6), warm_start=True)
# coefs_ = []
# for c in cs:
# clflgr.set_params(C=c)
# clflgr.fit(X_train, y_train)
# coefs_.append(clflgr.coef_.ravel().copy())
clfsgd = SGDRegressor(random_state=0, max_iter=1000, tol=1e-3)
clfsgd.fit(X_train, y_train)
##################
##################
##################
#Create confindence scores
confidencereg = clfreg.score(X_test, y_test)
confidencepoly2 = clfpoly2.score(X_test, y_test)
confidencepoly3 = clfpoly3.score(X_test, y_test)
confidenceknn = clfknn.score(X_test, y_test)
confidencelas = clflas.score(X_test, y_test)
# confidencemtl = clfmtl.score(X_test, y_test)
confidencebyr = clfbyr.score(X_test, y_test)
confidencelar = clflar.score(X_test, y_test)
confidenceomp = clfomp.score(X_test, y_test)
confidenceard = clfard.score(X_test, y_test)
confidencesgd = clfsgd.score(X_test, y_test)
# results
print('The linear regression confidence is:', confidencereg * 100)
print('The quadratic regression 2 confidence is:', confidencepoly2 * 100)
print('The quadratic regression 3 confidence is:', confidencepoly3 * 100)
print('The knn regression confidence is:', confidenceknn * 100)
print('The lasso regression confidence is:', confidencelas * 100)
# print('The lasso regression confidence is:',confidencemtl*100)
print('The Bayesian Ridge regression confidence is:', confidencebyr * 100)
print('The Lasso LARS regression confidence is:', confidencelar * 100)
print('The OMP regression confidence is:', confidenceomp * 100)
print('The ARD regression confidence is:', confidenceard * 100)
print('The SGD regression confidence is:', confidencesgd * 100)
#Create new columns
forecast_reg = clfreg.predict(X_lately)
forecast_pol2 = clfpoly2.predict(X_lately)
forecast_pol3 = clfpoly3.predict(X_lately)
forecast_knn = clfknn.predict(X_lately)
forecast_las = clflas.predict(X_lately)
forecast_byr = clfbyr.predict(X_lately)
forecast_lar = clflar.predict(X_lately)
forecast_omp = clfomp.predict(X_lately)
forecast_ard = clfard.predict(X_lately)
forecast_sgd = clfsgd.predict(X_lately)
#Process all new columns data
dfreg['Forecast_reg'] = np.nan
last_date = dfreg.iloc[-1].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_reg:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg.loc[next_date] = [np.nan for _ in range(len(dfreg.columns))]
dfreg['Forecast_reg'].loc[next_date] = i
dfreg['Forecast_pol2'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_pol2:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_pol2'].loc[next_date] = i
dfreg['Forecast_pol3'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_pol3:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_pol3'].loc[next_date] = i
dfreg['Forecast_knn'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_knn:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_knn'].loc[next_date] = i
dfreg['Forecast_las'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_las:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_las'].loc[next_date] = i
dfreg['Forecast_byr'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_byr:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_byr'].loc[next_date] = i
dfreg['Forecast_lar'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_lar:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_lar'].loc[next_date] = i
dfreg['Forecast_omp'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_omp:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_omp'].loc[next_date] = i
dfreg['Forecast_ard'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_ard:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_ard'].loc[next_date] = i
dfreg['Forecast_sgd'] = np.nan
last_date = dfreg.iloc[-26].name
last_unix = last_date
next_unix = last_unix + datetime.timedelta(days=1)
for i in forecast_sgd:
next_date = next_unix
next_unix += datetime.timedelta(days=1)
dfreg['Forecast_sgd'].loc[next_date] = i
return dfreg.index.format(formatter=lambda x: x.strftime(
'%Y-%m-%d')), dfreg['Adj Close'].to_list(
), dfreg['Forecast_reg'].to_list(), dfreg['Forecast_pol2'].to_list(
), dfreg['Forecast_pol3'].to_list(), dfreg['Forecast_knn'].to_list(
), dfreg['Forecast_las'].to_list(), dfreg['Forecast_byr'].to_list(
), dfreg['Forecast_lar'].to_list(), dfreg['Forecast_omp'].to_list(
), dfreg['Forecast_ard'].to_list(), dfreg['Forecast_sgd'].to_list()
def calc_ard_regression(X_train, X_test, y_train, y_test):
reg = ARDRegression().fit(X_train, y_train)
reg.score(X_train, y_train)
return calc_spearmanr_from_regressor(reg, X_test, y_test)
# ## ARD регрессия
# In[356]:
ard = ARDRegression()
ard.fit(X_train, y_train)
np.random.seed(0)
print("среднее значение отклика обучающей выборки: %f" %
np.mean(ard.predict(X_train)))
print(
"корень из среднеквадратичной ошибки прогноза средним значением на обучающей выборке, обучение: %f"
% np.sqrt(mean_squared_error(ard.predict(X_train), y_train)))
print(
"корень из среднеквадратичной ошибки прогноза средним значением на обучающей выборке, тест: %f"
% np.sqrt(mean_squared_error(ard.predict(X_test), y_test)))
print('коэффициент детерминации: %f' % ard.score(X_test, y_test))
print('абсолютная ошибка: %f' %
mean_absolute_error(y_test, ard.predict(X_test)))
# In[357]:
print(list(np.array(y_test)[:10]))
print(list(map(lambda x: int(round(x)), (ard.predict(X_test))[:10])))
# ## Случайный лес
# Построим на обучающей выборке случайный лес:
# In[358]:
rf = RandomForestRegressor(n_estimators=100, min_samples_leaf=3)
print "测试集R2:", r2_score(test_Y, test_Y_pred)
tss, rss, ess, r2 = xss(Y, bayesianRidge.predict(X))
print "TSS(Total Sum of Squares): ", tss
print "RSS(Residual Sum of Squares): ", rss
print "ESS(Explained Sum of Squares): ", ess
print "R^2: ", r2
print "\n**********测试ARDRegression类**********"
ardRegression = ARDRegression()
# 拟合训练集
ardRegression.fit(train_X, train_Y.values.ravel())
# 打印模型的系数
print "系数:", ardRegression.coef_
print "截距:", ardRegression.intercept_
print '训练集R2: ', r2_score(train_Y, ardRegression.predict(train_X))
# 对于线性回归模型, 一般使用均方误差(Mean Squared Error,MSE)或者
# 均方根误差(Root Mean Squared Error,RMSE)在测试集上的表现来评该价模型的好坏.
test_Y_pred = ardRegression.predict(test_X)
print "测试集得分:", ardRegression.score(test_X, test_Y)
print "测试集MSE:", mean_squared_error(test_Y, test_Y_pred)
print "测试集RMSE:", np.sqrt(mean_squared_error(test_Y, test_Y_pred))
print "测试集R2:", r2_score(test_Y, test_Y_pred)
tss, rss, ess, r2 = xss(Y, ardRegression.predict(X))
print "TSS(Total Sum of Squares): ", tss
print "RSS(Residual Sum of Squares): ", rss
print "ESS(Explained Sum of Squares): ", ess
print "R^2: ", r2
