def callback(beta):
Tau = None
eta = 2.0
group = None
loss_trace.append(
_loss(distr, alpha, Tau, reg_lambda, X_train, y_train, eta,
group, beta))
def callback(beta):
Tau = None
loss_trace.append(
_loss(distr, alpha, Tau, reg_lambda,
X_train, y_train, eta, theta, group, beta,
fit_intercept=fit_intercept))
def test_glmnet(distr, reg_lambda, fit_intercept, solver):
"""Test glmnet."""
raises(ValueError, GLM, distr='blah')
raises(ValueError, GLM, distr='gaussian', max_iter=1.8)
n_samples, n_features = 100, 10
# coefficients
beta0 = 0.
if fit_intercept:
beta0 = 1. / (np.float(n_features) + 1.) * \
np.random.normal(0.0, 1.0)
beta = 1. / (np.float(n_features) + int(fit_intercept)) * \
np.random.normal(0.0, 1.0, (n_features,))
score_metric = 'pseudo_R2'
learning_rate = 2e-1
random_state = 0
betas_ = list()
if not (distr == 'gamma' and solver == 'cdfast'):
np.random.seed(random_state)
theta = 1.0
X_train = np.random.normal(0.0, 1.0, [n_samples, n_features])
y_train = simulate_glm(distr, beta0, beta, X_train, theta=theta,
sample=False)
alpha = 0.
loss_trace = list()
eta = 2.0
group = None
Tau = None
def callback(beta):
Tau = None
loss_trace.append(
_loss(distr, alpha, Tau, reg_lambda,
X_train, y_train, eta, theta, group, beta,
fit_intercept=fit_intercept))
glm = GLM(distr, learning_rate=learning_rate,
reg_lambda=reg_lambda, tol=1e-5, max_iter=5000,
alpha=alpha, solver=solver, score_metric=score_metric,
random_state=random_state, callback=callback,
fit_intercept=fit_intercept, theta=theta)
assert(repr(glm))
glm.fit(X_train, y_train)
# verify loss decreases
assert(np.all(np.diff(loss_trace) <= 1e-7))
# true loss and beta should be recovered when reg_lambda == 0
if reg_lambda == 0.:
# verify loss at convergence = loss when beta=beta_
l_true = _loss(distr, alpha, Tau, reg_lambda,
X_train, y_train, eta, theta, group,
np.concatenate(([beta0], beta)))
assert_allclose(loss_trace[-1], l_true, rtol=1e-4, atol=1e-5)
# beta=beta_ when reg_lambda = 0.
assert_allclose(beta, glm.beta_, rtol=0.05, atol=1e-2)
betas_.append(glm.beta_)
y_pred = glm.predict(X_train)
assert(y_pred.shape[0] == X_train.shape[0])
# compare all solvers pairwise to make sure they're close
for i, first_beta in enumerate(betas_[:-1]):
for second_beta in betas_[i + 1:]:
assert_allclose(first_beta, second_beta, rtol=0.05, atol=1e-2)
# test fit_predict
glm_poisson = GLM(distr='softplus')
glm_poisson.fit_predict(X_train, y_train)
raises(ValueError, glm_poisson.fit_predict,
X_train[None, ...], y_train)
def test_glmnet():
"""Test glmnet."""
raises(ValueError, GLM, distr='blah')
raises(ValueError, GLM, distr='gaussian', max_iter=1.8)
n_samples, n_features = 100, 10
# coefficients
beta0 = 1. / (np.float(n_features) + 1.) * \
np.random.normal(0.0, 1.0)
beta = 1. / (np.float(n_features) + 1.) * \
np.random.normal(0.0, 1.0, (n_features,))
distrs = ['softplus', 'gaussian', 'poisson', 'binomial', 'probit']
solvers = ['batch-gradient', 'cdfast']
score_metric = 'pseudo_R2'
learning_rate = 2e-1
random_state = 0
for distr in distrs:
betas_ = list()
for solver in solvers:
np.random.seed(random_state)
X_train = np.random.normal(0.0, 1.0, [n_samples, n_features])
y_train = simulate_glm(distr, beta0, beta, X_train, sample=False)
alpha = 0.
reg_lambda = 0.
loss_trace = list()
def callback(beta):
Tau = None
eta = 2.0
group = None
loss_trace.append(
_loss(distr, alpha, Tau, reg_lambda, X_train, y_train, eta,
group, beta))
glm = GLM(distr,
learning_rate=learning_rate,
reg_lambda=reg_lambda,
tol=1e-3,
max_iter=5000,
alpha=alpha,
solver=solver,
score_metric=score_metric,
random_state=random_state,
callback=callback)
assert (repr(glm))
glm.fit(X_train, y_train)
# verify loss decreases
assert (np.all(np.diff(loss_trace) <= 1e-7))
# verify loss at convergence = loss when beta=beta_
l_true = _loss(distr, 0., np.eye(beta.shape[0]), 0., X_train,
y_train, 2.0, None, np.concatenate(([beta0], beta)))
assert_allclose(loss_trace[-1], l_true, rtol=1e-4, atol=1e-5)
# beta=beta_ when reg_lambda = 0.
assert_allclose(beta, glm.beta_, rtol=0.05, atol=1e-2)
betas_.append(glm.beta_)
y_pred = glm.predict(X_train)
assert (y_pred.shape[0] == X_train.shape[0])
# compare all solvers pairwise to make sure they're close
for i, first_beta in enumerate(betas_[:-1]):
for second_beta in betas_[i + 1:]:
assert_allclose(first_beta, second_beta, rtol=0.05, atol=1e-2)
# test fit_predict
glm_poisson = GLM(distr='softplus')
glm_poisson.fit_predict(X_train, y_train)
raises(ValueError, glm_poisson.fit_predict, X_train[None, ...], y_train)