def test_expit():
# Check numerical stability of expit (logistic function).
# Simulate our previous Cython implementation, based on
#http://fa.bianp.net/blog/2013/numerical-optimizers-for-logistic-regression
assert_almost_equal(expit(1000.), 1. / (1. + np.exp(-1000.)), decimal=16)
assert_almost_equal(expit(-1000.), np.exp(-1000.) / (1. + np.exp(-1000.)),
decimal=16)
x = np.arange(10)
out = np.zeros_like(x, dtype=np.float32)
assert_array_almost_equal(expit(x), expit(x, out=out))
def test_expit():
# Check numerical stability of expit (logistic function).
# Simulate our previous Cython implementation, based on
#http://fa.bianp.net/blog/2013/numerical-optimizers-for-logistic-regression
assert_almost_equal(expit(1000.), 1. / (1. + np.exp(-1000.)), decimal=16)
assert_almost_equal(expit(-1000.),
np.exp(-1000.) / (1. + np.exp(-1000.)),
decimal=16)
x = np.arange(10)
out = np.zeros_like(x, dtype=np.float32)
assert_array_almost_equal(expit(x), expit(x, out=out))
def _sample_visibles(self, h, temperature=1.0):
"""Sample from the distribution P(v|h).
h : array-like, shape (n_samples, n_components)
Values of the hidden layer to sample from.
Returns
-------
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
"""
p = np.dot(h, self.components_/temperature)
p += self.intercept_visible_/(min(1.0, temperature) if BIASED_PRIOR else temperature)
expit(p, out=p)
return (self.rng_.random_sample(size=p.shape) < p)
def _sample_visibles(self, h, temperature=1.0):
"""Sample from the distribution P(v|h).
h : array-like, shape (n_samples, n_components)
Values of the hidden layer to sample from.
Returns
-------
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
"""
p = np.dot(h, self.components_ / temperature)
p += self.intercept_visible_ / (min(1.0, temperature)
if BIASED_PRIOR else temperature)
expit(p, out=p)
return (self.rng_.random_sample(size=p.shape) < p)
def _fit(self, v_pos):
"""Inner fit for one mini-batch.
Adjust the parameters to maximize the likelihood of v using
Extended Mean Field theory (second order TAP equations).
Parameters
----------
v_pos : array-like, shape (n_samples, n_features)
The data to use for training.
"""
X_batch = v_pos
lr = float(self.learning_rate) / X_batch.shape[0]
decay = self.decay
v_pos, h_pos, v_init, h_init = self.init_batch(X_batch)
a = safe_sparse_dot(h_init, self.W, dense_output=True) + self.v_bias
a = expit(a, out=a)
# get_negative_samples
v_neg, h_neg = self.equilibrate(v_init, h_init, iters=self.neq_steps)
# basic gradient
dW = self.weight_gradient(v_pos, h_pos, v_neg, h_neg)
# regularization based on weight decay
# similar to momentum >
if self.weight_decay == "L1":
dW -= decay * np.sign(self.W)
elif self.weight_decay == "L2":
dW -= decay * self.W
# can we use BLAS here ?
# momentum
# note: what do we do if lr changes per step ? not ready yet
dW += self.momentum * self.dW_prev
# update
self.W += lr * dW
# storage for next iteration
# is this is a memory killer
self.dW_prev = dW
# is this wasteful...can we avoid storing 2X the W mat ?
# elementwise multiply
self.W2 = np.multiply(self.W, self.W)
# update bias terms
# csr matrix sum is screwy, returns [[1,self.n_components]] 2-d array
# so I always use np.asarray(X.sum(axis=0)).squeeze()
# although (I think) this could be optimized
self.v_bias += lr * (np.asarray(v_pos.sum(axis=0)).squeeze() -
np.asarray(v_neg.sum(axis=0)).squeeze())
self.h_bias += lr * (np.asarray(h_pos.sum(axis=0)).squeeze() -
np.asarray(h_neg.sum(axis=0)).squeeze())
return 0
def _sample_visibles(self, h, rng):
"""Sample from the distribution P(v|h).
Parameters
----------
h : array-like, shape (n_samples, n_components)
Values of the hidden layer to sample from.
rng : RandomState
Random number generator to use.
Returns
-------
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
"""
p = np.dot(h, self.components_)
p += self.intercept_visible_
expit(p, out=p)
return (rng.random_sample(size=p.shape) < p)
def _mean_hiddens(self, v):
"""Computes the conditional probabilities P(h=1|v).
Parameters
----------
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
Returns
-------
h : array-like, shape (n_samples, n_components)
Corresponding mean field values for the hidden layer.
"""
p = safe_sparse_dot(v, self.W.T) + self.h_bias
return expit(p, out=p)
def _mean_visible(self, h):
"""Computes the conditional probabilities P(v=1|h).
Parameters
----------
h : array-like, shape (n_samples, n_components)
Corresponding mean field values for the hidden layer.
Returns
-------
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
"""
#p = np.dot(h, self.W) + self.v_bias
p = safe_sparse_dot(h, self.W) + self.v_bias
return expit(p, out=p)
def _mean_hiddens(self, v, temperature=1.0):
"""Computes the probabilities P(h=1|v).
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
Returns
-------
h : array-like, shape (n_samples, n_components)
Corresponding mean field values for the hidden layer.
"""
p = safe_sparse_dot(v, self.components_.T/temperature)
p += self.intercept_hidden_/(min(1.0, temperature) if BIASED_PRIOR else temperature)
return expit(p, out=p)
def _mean_hiddens(self, v, temperature=1.0):
"""Computes the probabilities P(h=1|v).
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
Returns
-------
h : array-like, shape (n_samples, n_components)
Corresponding mean field values for the hidden layer.
"""
p = safe_sparse_dot(v, self.components_.T / temperature)
p += self.intercept_hidden_ / (min(1.0, temperature)
if BIASED_PRIOR else temperature)
return expit(p, out=p)
def mh_update(self, v, h):
"""update TAP hidden magnetizations, to second order"""
a = safe_sparse_dot(v, self.W.T) + self.h_bias
v_fluc = (v - (np.multiply(v, v)))
#a += (v-v*v).dot((self.W2).T)*(0.5-h)
if issparse(h):
h_half = (0.5 - h.to_dense())
else:
h_half = (0.5 - h)
a += np.multiply(safe_sparse_dot(v_fluc, self.W2.T), h_half)
return expit(a, out=a)
def _mean_hiddens(self, v):
"""Computes the probabilities P(h=1|v).
Parameters
----------
v : array-like, shape (n_samples, n_features)
Values of the visible layer.
Returns
-------
h : array-like, shape (n_samples, n_components)
Corresponding mean field values for the hidden layer.
"""
p = safe_sparse_dot(v, self.components_.T)
p += self.intercept_hidden_
return expit(p, out=p)
def fgrad(we, X, y, l1, l2):
nsamples, nfactors = X.shape
w0 = we[0]
w = we[1:(nfactors + 1)] - we[(nfactors + 1):]
yz = y * (safe_sparse_dot(X, w) + w0)
f = -np.sum(log_logistic(yz)) + l1 * np.sum(
we[1:]) + 0.5 * l2 * np.dot(w, w)
e = (expit(yz) - 1) * y
g = safe_sparse_dot(X.T, e) + l2 * w
g0 = np.sum(e)
grad = np.concatenate([g, -g]) + l1
grad = np.insert(grad, 0, g0)
return f, grad
def mv_update(self, v, h):
"""update TAP visbile magnetizations, to second order"""
# a = np.dot(h, self.W) + self.v_bias
a = safe_sparse_dot(h, self.W) + self.v_bias
h_fluc = h - np.multiply(h, h)
#a += h_fluc.dot(self.W2)*(0.5-v)
# 0.5-v is elementwise => dense
if issparse(v):
v_half = (0.5 - v.todense())
else:
v_half = (0.5 - v)
a += np.multiply(safe_sparse_dot(h_fluc, self.W2), v_half)
return expit(a, out=a)
def _logistic_loss_and_grad(w, X, y, alpha, sample_weight=None):
"""Computes the logistic loss and gradient.
Parameters
----------
w : ndarray, shape (n_features,) or (n_features + 1,)
Coefficient vector.
X : {array-like, sparse matrix}, shape (n_samples, n_features)
Training data.
y : ndarray, shape (n_samples,)
Array of labels.
alpha : float
Regularization parameter. alpha is equal to 1 / C.
sample_weight : array-like, shape (n_samples,) optional
Array of weights that are assigned to individual samples.
If not provided, then each sample is given unit weight.
Returns
-------
out : float
Logistic loss.
grad : ndarray, shape (n_features,) or (n_features + 1,)
Logistic gradient.
"""
_, n_features = X.shape
grad = np.empty_like(w)
w, c, yz = _intercept_dot(w, X, y)
if sample_weight is None:
sample_weight = np.ones(y.shape[0])
# Logistic loss is the negative of the log of the logistic function.
out = -np.sum(sample_weight * log_logistic(yz)) + .5 * alpha * np.dot(w, w)
z = expit(yz)
z0 = sample_weight * (z - 1) * y
grad[:n_features] = safe_sparse_dot(X.T, z0) + alpha * w
# Case where we fit the intercept.
if grad.shape[0] > n_features:
grad[-1] = z0.sum()
return out, grad
def _logistic_loss_and_grad(w, X, y, alpha, sample_weight=None):
"""Computes the logistic loss and gradient.
Parameters
----------
w : ndarray, shape (n_features,) or (n_features + 1,)
Coefficient vector.
X : {array-like, sparse matrix}, shape (n_samples, n_features)
Training data.
y : ndarray, shape (n_samples,)
Array of labels.
alpha : float
Regularization parameter. alpha is equal to 1 / C.
sample_weight : array-like, shape (n_samples,) optional
Array of weights that are assigned to individual samples.
If not provided, then each sample is given unit weight.
Returns
-------
out : float
Logistic loss.
grad : ndarray, shape (n_features,) or (n_features + 1,)
Logistic gradient.
"""
_, n_features = X.shape
grad = np.empty_like(w)
w, c, yz = _intercept_dot(w, X, y)
if sample_weight is None:
sample_weight = np.ones(y.shape[0])
# Logistic loss is the negative of the log of the logistic function.
out = -np.sum(sample_weight * log_logistic(yz)) + .5 * alpha * np.dot(w, w)
z = expit(yz)
z0 = sample_weight * (z - 1) * y
grad[:n_features] = safe_sparse_dot(X.T, z0) + alpha * w
# Case where we fit the intercept.
if grad.shape[0] > n_features:
grad[-1] = z0.sum()
return out, grad
def dloss(self, y, pred):
return (-y * expit(-y * pred))
def _fit(self, v_pos, rng, targets, epoch_num=1):
"""Inner fit for one mini-batch.
Adjust the parameters to maximize the likelihood of v using
Stochastic Maximum Likelihood (SML).
Parameters
----------
v_pos : array-like, shape (n_samples, n_features)
The data to use for training.
rng : RandomState
Random number generator to use for sampling.
target: array-like, shape (n_samples, unique_labels)
Labeled data.
"""
momentum = 0.7
######## VISABLE POSITIVE TO HIDDEN POSITIVE PHASE ##########
h_pos = self._mean_hiddens(v_pos, targets)
######## HIDDEN POSITIVE TO VISABLE NEGATIVE PHASE ##########
batch_count = len(v_pos)
self.target_bias_matrix = numpy.tile(self.target_bias_, (batch_count, 1))
self.visible_bias_matrix = numpy.tile(self.intercept_visible_, (batch_count, 1))
self.hidden_bias_matrix = numpy.tile(self.intercept_hidden_, (batch_count, 1))
neg_lab_states = self.target_bias_matrix * 0.
if targets.sum() != 0:
temp_h_pos = h_pos
for j in range(self.cd_iter):
## positive hidden label states from previous positive hidden probabilities
pos_hid_states = temp_h_pos > numpy.random.random(size=h_pos.shape)
neg_lab_prob = numpy.exp(numpy.dot(pos_hid_states, self.target_components_.T) + self.target_bias_matrix)
neg_lab_prob = neg_lab_prob / neg_lab_prob.sum(axis=1).reshape(batch_count, 1)
cum_probs = numpy.cumsum(neg_lab_prob, axis=1)
sampling = cum_probs > rng.uniform(0, 1., (batch_count, 1))
neg_lab_states = numpy.zeros(self.target_bias_matrix.shape, dtype=float)
for j, s in enumerate(sampling):
try:
index = min(numpy.where(s)[0])
neg_lab_states[j, index] = 1
except ValueError:
sys.exit(1)
v_neg = expit(numpy.dot(pos_hid_states, self.components_.T) + self.intercept_visible_)
v_neg_states = v_neg > numpy.random.uniform(0., 1., v_neg.shape) ## given _sample_visibles this line is not needed
temp_h_pos = self._mean_hiddens(v_neg_states, neg_lab_states)
h_neg = temp_h_pos
else:
h_pos_states = h_pos > numpy.random.random(h_pos.shape)
if self.regularization_mu is not None:
## force sparsity by pressuring hidden units to turn on ##
sparse_h_pos = self.regularization(h_pos, self.regularization_mu, axis=0)
# this will force selectivity
#sparse_h_pos = self.regularization(sparse_h_pos, self.regularization_mu, axis=1)
h_pos = (1 - self.phi) * sparse_h_pos + self.phi * h_pos
h_pos_states = h_pos
## visable negative must be a function of hidden positive states
v_neg = expit(numpy.dot(h_pos_states, self.components_.T) + self.intercept_visible_)
######## VISABLE NEGATIVE TO HIDDEN NEGATIVE PHASE #########
h_neg = expit(numpy.dot(v_neg, self.components_) + self.intercept_hidden_)
err = numpy.sum(numpy.square((v_neg - v_pos)))
## compute learning rates by dividing by batch size
lr = float(self.learning_rate) / v_pos.shape[0]
lr_bias = float(self.learning_rate_bias) / v_pos.shape[0]
######## Update Components and Bias Units ########
update_comp = safe_sparse_dot(v_pos.T, h_pos, dense_output=True)
update_comp -= safe_sparse_dot(v_neg.T, h_neg, dense_output=True)
update_comp -= self.weight_cost * v_pos.shape[0] * self.components_ # weight decay
self.vishidinc = lr * update_comp + self.vishidinc * momentum
self.components_ += self.vishidinc
update_comp_lab = safe_sparse_dot(targets.T, h_pos, dense_output=True)
update_comp_lab -= safe_sparse_dot(neg_lab_states.T, h_neg, dense_output=True)
update_comp_lab -= self.weight_cost * v_neg.shape[0] * self.target_components_
self.target_components_ += lr * update_comp_lab
self.hidbiasinc = momentum * self.hidbiasinc + lr_bias * (h_pos.sum(axis=0) - h_neg.sum(axis=0))
self.intercept_hidden_ += self.hidbiasinc
self.visbiasinc = momentum * self.visbiasinc + lr_bias * (v_pos.sum(axis=0) - v_neg.sum(axis=0))
self.intercept_visible_ += self.visbiasinc
self.target_bias_ += lr_bias * (targets.sum(axis=0) - neg_lab_states.sum(axis=0))
return err
def _logistic_grad_hess(w, X, y, alpha, sample_weight=None):
"""Computes the gradient and the Hessian, in the case of a logistic loss.
Parameters
----------
w : ndarray, shape (n_features,) or (n_features + 1,)
Coefficient vector.
X : {array-like, sparse matrix}, shape (n_samples, n_features)
Training data.
y : ndarray, shape (n_samples,)
Array of labels.
alpha : float
Regularization parameter. alpha is equal to 1 / C.
sample_weight : array-like, shape (n_samples,) optional
Array of weights that are assigned to individual samples.
If not provided, then each sample is given unit weight.
Returns
-------
grad : ndarray, shape (n_features,) or (n_features + 1,)
Logistic gradient.
Hs : callable
Function that takes the gradient as a parameter and returns the
matrix product of the Hessian and gradient.
"""
n_samples, n_features = X.shape
grad = np.empty_like(w)
fit_intercept = grad.shape[0] > n_features
w, c, yz = _intercept_dot(w, X, y)
if sample_weight is None:
sample_weight = np.ones(y.shape[0])
z = expit(yz)
z0 = sample_weight * (z - 1) * y
grad[:n_features] = safe_sparse_dot(X.T, z0) + alpha * w
# Case where we fit the intercept.
if fit_intercept:
grad[-1] = z0.sum()
# The mat-vec product of the Hessian
d = sample_weight * z * (1 - z)
if sparse.issparse(X):
dX = safe_sparse_dot(
sparse.dia_matrix((d, 0), shape=(n_samples, n_samples)), X)
else:
# Precompute as much as possible
dX = d[:, np.newaxis] * X
if fit_intercept:
# Calculate the double derivative with respect to intercept
# In the case of sparse matrices this returns a matrix object.
dd_intercept = np.squeeze(np.array(dX.sum(axis=0)))
def Hs(s):
ret = np.empty_like(s)
ret[:n_features] = X.T.dot(dX.dot(s[:n_features]))
ret[:n_features] += alpha * s[:n_features]
# For the fit intercept case.
if fit_intercept:
ret[:n_features] += s[-1] * dd_intercept
ret[-1] = dd_intercept.dot(s[:n_features])
ret[-1] += d.sum() * s[-1]
return ret
return grad, Hs
def predict(self, X):
n = (len(self.we) - 1) / 2
w0 = self.we[0]
w = self.we[1:n + 1] - self.we[n + 1:]
return expit(w0 + safe_sparse_dot(X, w))
def _logistic_grad_hess(w, X, y, alpha, sample_weight=None):
"""Computes the gradient and the Hessian, in the case of a logistic loss.
Parameters
----------
w : ndarray, shape (n_features,) or (n_features + 1,)
Coefficient vector.
X : {array-like, sparse matrix}, shape (n_samples, n_features)
Training data.
y : ndarray, shape (n_samples,)
Array of labels.
alpha : float
Regularization parameter. alpha is equal to 1 / C.
sample_weight : array-like, shape (n_samples,) optional
Array of weights that are assigned to individual samples.
If not provided, then each sample is given unit weight.
Returns
-------
grad : ndarray, shape (n_features,) or (n_features + 1,)
Logistic gradient.
Hs : callable
Function that takes the gradient as a parameter and returns the
matrix product of the Hessian and gradient.
"""
n_samples, n_features = X.shape
grad = np.empty_like(w)
fit_intercept = grad.shape[0] > n_features
w, c, yz = _intercept_dot(w, X, y)
if sample_weight is None:
sample_weight = np.ones(y.shape[0])
z = expit(yz)
z0 = sample_weight * (z - 1) * y
grad[:n_features] = safe_sparse_dot(X.T, z0) + alpha * w
# Case where we fit the intercept.
if fit_intercept:
grad[-1] = z0.sum()
# The mat-vec product of the Hessian
d = sample_weight * z * (1 - z)
if sparse.issparse(X):
dX = safe_sparse_dot(sparse.dia_matrix((d, 0),
shape=(n_samples, n_samples)), X)
else:
# Precompute as much as possible
dX = d[:, np.newaxis] * X
if fit_intercept:
# Calculate the double derivative with respect to intercept
# In the case of sparse matrices this returns a matrix object.
dd_intercept = np.squeeze(np.array(dX.sum(axis=0)))
def Hs(s):
ret = np.empty_like(s)
ret[:n_features] = X.T.dot(dX.dot(s[:n_features]))
ret[:n_features] += alpha * s[:n_features]
# For the fit intercept case.
if fit_intercept:
ret[:n_features] += s[-1] * dd_intercept
ret[-1] = dd_intercept.dot(s[:n_features])
ret[-1] += d.sum() * s[-1]
return ret
return grad, Hs
def sigma_means(self, x, b, W):
"""helper class for computing Wx+b """
a = safe_sparse_dot(x, W.T) + b
return expit(a, out=a)
