def oneStep3(self, X, Y):
n, d = X.shape[0], X.shape[1]
Y = Y.reshape(-1, 1)
v = X.dot(self._beta)
GEVFunc.clip(self.xi, v)
W = np.diag(GEVFunc.derivInverseLink(self.xi, v).flatten())
secOrd = np.linalg.pinv(X.T.dot(W).dot(X) / n + self.reg * np.eye(d))
Y_hat = GEVFunc.inverseLink(self.xi, v)
firOrd = X.T.dot(Y_hat - Y) / n + self.reg * self._beta
self._beta -= self.step * secOrd.dot(firOrd)
def fit3(self, X, Y):
n, d = X.shape[0], X.shape[1]
Y = Y.reshape(-1, 1)
if not self.manualInitial:
self.initialize(X, Y)
t = 0.
while t < self.iterations:
v = X.dot(self._beta)
GEVFunc.clip(self.xi, v)
W = np.diag(GEVFunc.derivInverseLink(self.xi, v).flatten())
# secOrd = np.linalg.pinv(X.T.dot(W).dot(X) / n + self.reg * np.eye(d))
A = X.T.dot(W).dot(X) / n + self.reg * np.eye(d)
Y_hat = GEVFunc.inverseLink(self.xi, v)
b = X.T.dot(Y_hat - Y) / n + self.reg * self._beta
self._beta += np.linalg.lstsq(A, -b)[0]
# self._beta -= self.step * secOrd.dot(firOrd)
t += 1
self._beta = np.array(self._beta).flatten()
