def main(readcsv=read_csv, method='defaultDense'):
infile = "./data/batch/lbfgs.csv"
# Read the data, let's have 10 independent variables
data = readcsv(infile, range(10))
dep_data = readcsv(infile, range(10,11))
nVectors = data.shape[0]
# configure a MSE object
mse_algo = d4p.optimization_solver_mse(nVectors)
mse_algo.setup(data, dep_data)
# configure an LBFGS object
sls = np.array([[1.0e-4]], dtype=np.double)
niters = 1000
lbfgs_algo = d4p.optimization_solver_lbfgs(mse_algo,
stepLengthSequence=sls,
nIterations=niters)
# finally do the computation
inp = np.array([[100]]*11, dtype=np.double)
res = lbfgs_algo.compute(inp)
# The LBFGS result provides minimum and nIterations
assert res.minimum.shape == inp.shape and res.nIterations[0][0] <= niters
return res
def main(readcsv=read_csv, method='defaultDense'):
infile = "./data/batch/mse.csv"
# Read the data, let's have 3 independent variables
data = readcsv(infile, range(3))
dep_data = readcsv(infile, range(3, 4))
nVectors = data.shape[0]
# configure a MSE object
mse_algo = d4p.optimization_solver_mse(nVectors)
mse_algo.setup(data, dep_data)
# configure an AdaGrad object
lr = np.array([[1.0]], dtype=np.double)
niters = 1000
sgd_algo = d4p.optimization_solver_adagrad(mse_algo,
learningRate=lr,
accuracyThreshold=0.0000001,
nIterations=niters,
batchSize=1)
# finally do the computation
inp = np.array([[8], [2], [1], [4]], dtype=np.double)
res = sgd_algo.compute(inp)
# The AdaGrad result provides minimum and nIterations
assert res.minimum.shape == inp.shape and res.nIterations[0][0] <= niters
return res
def _daal4py_fit_enet(self, X, y_, check_input):
# appropriate checks
_daal4py_check(self, X, y_, check_input)
X = make2d(X)
y = make2d(y_)
_fptype = getFPType(X)
# only for dual_gap computation, it is not required for Intel(R) oneAPI
# Data Analytics Library
self._X = X
self._y = y
penalty_L1 = np.asarray(self.alpha * self.l1_ratio, dtype=X.dtype)
penalty_L2 = np.asarray(self.alpha * (1.0 - self.l1_ratio), dtype=X.dtype)
if (penalty_L1.size != 1 or penalty_L2.size != 1):
raise ValueError("alpha or l1_ratio length is wrong")
penalty_L1 = penalty_L1.reshape((1, -1))
penalty_L2 = penalty_L2.reshape((1, -1))
#normalizing and centering
X_offset = np.zeros(X.shape[1], dtype=X.dtype)
X_scale = np.ones(X.shape[1], dtype=X.dtype)
if y.ndim == 1:
y_offset = X.dtype.type(0)
else:
y_offset = np.zeros(y.shape[1], dtype=X.dtype)
if self.fit_intercept:
X_offset = np.average(X, axis=0)
if self.normalize:
if self.copy_X:
X = np.copy(X) - X_offset
else:
X -= X_offset
X, X_scale = normalize(X, axis=0, copy=False, return_norm=True)
y_offset = np.average(y, axis=0)
y = y - y_offset
# only for compliance with Sklearn
if isinstance(self.precompute, np.ndarray) and (
self.fit_intercept
and not np.allclose(X_offset, np.zeros(X.shape[1])) or
self.normalize and not np.allclose(X_scale, np.ones(X.shape[1]))):
warnings.warn(
"Gram matrix was provided but X was centered"
" to fit intercept, "
"or X was normalized : recomputing Gram matrix.", UserWarning)
mse_alg = daal4py.optimization_solver_mse(numberOfTerms=X.shape[0],
fptype=_fptype,
method='defaultDense')
mse_alg.setup(X, y, None)
cd_solver = daal4py.optimization_solver_coordinate_descent(
function=mse_alg,
fptype=_fptype,
method='defaultDense',
selection=self.selection,
seed=0 if (self.random_state is None) else self.random_state,
nIterations=self.max_iter,
positive=self.positive,
accuracyThreshold=self.tol)
# set warm_start
if self.warm_start and hasattr(self, "coef_") and \
isinstance(self.coef_, np.ndarray):
n_rows = y.shape[1]
n_cols = X.shape[1] + 1
inputArgument = np.zeros((n_rows, n_cols), dtype=_fptype)
for i in range(n_rows):
inputArgument[i][0] = self.intercept_ if (
n_rows == 1) else self.intercept_[i]
inputArgument[i][1:] = self.coef_[:].copy(
order='C') if (n_rows == 1) else self.coef_[i, :].copy(
order='C')
cd_solver.setup(inputArgument)
elastic_net_alg = daal4py.elastic_net_training(
fptype=_fptype,
method='defaultDense',
interceptFlag=(self.fit_intercept is True),
dataUseInComputation='doUse' if
((self.copy_X is False) or
(self.fit_intercept and self.normalize and self.copy_X)) else
'doNotUse',
penaltyL1=penalty_L1,
penaltyL2=penalty_L2,
optimizationSolver=cd_solver)
try:
if isinstance(self.precompute, np.ndarray):
elastic_net_res = elastic_net_alg.compute(
data=X, dependentVariables=y, gramMatrix=self.precompute)
else:
elastic_net_res = elastic_net_alg.compute(data=X,
dependentVariables=y)
except RuntimeError:
return None
# set coef_ and intersept_ results
elastic_net_model = elastic_net_res.model
self.daal_model_ = elastic_net_model
# update coefficients if normalizing and centering
if self.fit_intercept and self.normalize:
elastic_net_model.Beta[:, 1:] = elastic_net_model.Beta[:, 1:] / X_scale
elastic_net_model.Beta[:, 0] = (
y_offset - np.dot(X_offset, elastic_net_model.Beta[:, 1:].T)).T
coefs = elastic_net_model.Beta
self.intercept_ = coefs[:, 0].copy(order='C')
self.coef_ = coefs[:, 1:].copy(order='C')
# only for compliance with Sklearn
if y.shape[1] == 1:
self.coef_ = np.ravel(self.coef_)
self.intercept_ = np.ravel(self.intercept_)
if self.intercept_.shape[0] == 1:
self.intercept_ = self.intercept_[0]
# set n_iter_
n_iter = cd_solver.__get_result__().nIterations[0][0]
if y.shape[1] == 1:
self.n_iter_ = n_iter
else:
self.n_iter_ = np.full(y.shape[1], n_iter)
# only for compliance with Sklearn
if (self.max_iter == n_iter + 1):
warnings.warn(
"Objective did not converge. You might want to "
"increase the number of iterations.", ConvergenceWarning)
return self
def _daal4py_fit_enet(self, X, y_, check_input):
#appropriate checks
_daal4py_check(self, X, y_, check_input)
X = make2d(X)
y = make2d(y_)
_fptype = getFPType(X)
penalty_L1 = np.asarray(self.alpha * self.l1_ratio, dtype=X.dtype)
penalty_L2 = np.asarray(self.alpha * (1.0 - self.l1_ratio), dtype=X.dtype)
if (penalty_L1.size != 1 or penalty_L2.size != 1):
raise ValueError("alpha or l1_ratio length is wrong")
penalty_L1 = penalty_L1.reshape((1, -1))
penalty_L2 = penalty_L2.reshape((1, -1))
mse_alg = daal4py.optimization_solver_mse(numberOfTerms=X.shape[0],
fptype=_fptype,
method='defaultDense')
mse_alg.setup(X, y, None)
cd_solver = daal4py.optimization_solver_coordinate_descent(
function=mse_alg,
fptype=_fptype,
method='defaultDense',
selection=self.selection,
seed=0 if (self.random_state == None) else self.random_state,
nIterations=self.max_iter,
positive=self.positive,
accuracyThreshold=self.tol)
#set warm_start
if (self.warm_start and hasattr(self, "coef_")
and isinstance(self.coef_, np.ndarray)):
n_rows = y.shape[1]
n_cols = X.shape[1] + 1
inputArgument = np.zeros((n_rows, n_cols), dtype=_fptype)
for i in range(n_rows):
inputArgument[i][0] = self.intercept_ if (
n_rows == 1) else self.intercept_[i]
inputArgument[i][1:] = self.coef_[:].copy(
order='C') if (n_rows == 1) else self.coef_[i, :].copy(
order='C')
cd_solver.setup(inputArgument)
elastic_net_alg = daal4py.elastic_net_training(
fptype=_fptype,
method='defaultDense',
interceptFlag=(self.fit_intercept is True),
dataUseInComputation='doUse' if (self.copy_X == False) else 'doNotUse',
penaltyL1=penalty_L1,
penaltyL2=penalty_L2,
optimizationSolver=cd_solver)
try:
if isinstance(self.precompute, np.ndarray):
elastic_net_res = elastic_net_alg.compute(
data=X, dependentVariables=y, gramMatrix=self.precompute)
else:
elastic_net_res = elastic_net_alg.compute(data=X,
dependentVariables=y)
except RuntimeError:
return None
#set coef_ and intersept_ results
elastic_net_model = elastic_net_res.model
self.daal_model_ = elastic_net_model
coefs = elastic_net_model.Beta
self.intercept_ = coefs[:, 0].copy(order='C')
self.coef_ = coefs[:, 1:].copy(order='C')
#only for compliance with Sklearn
if y.shape[1] == 1:
self.coef_ = np.ravel(self.coef_)
self.intercept_ = np.ravel(self.intercept_)
if self.intercept_.shape[0] == 1:
self.intercept_ = self.intercept_[0]
#set n_iter_
n_iter = cd_solver.__get_result__().nIterations[0][0]
if y.shape[1] == 1:
self.n_iter_ = n_iter
else:
self.n_iter_ = np.full(y.shape[1], n_iter)
#only for compliance with Sklearn
if (self.max_iter == n_iter + 1):
warnings.warn(
"Objective did not converge. You might want to "
"increase the number of iterations.", ConvergenceWarning)
#only for dual_gap computation, it is not required for DAAL
self._X = X
self._y = y
return self