def lpo_core(X,y, regparam):
start, end = [], []
for i in range(X.shape[0]-1):
for j in range(i+1, X.shape[0]):
start.append(i)
end.append(j)
rls = RLS(X,y, regparam=regparam, kernel="GaussianKernel", gamma=0.01)
pred0, pred1 = rls.leave_pair_out(start, end)
return pred0, pred1
def lgo_core(X,y, groups, regparam):
logo = LeaveOneGroupOut()
rls = RLS(X,y, regparam=regparam, kernel="GaussianKernel", gamma=0.01)
errors = []
for train, test in logo.split(X, y, groups=groups):
p = rls.holdout(test)
e = sqerror(y[test], p)
errors.append(e)
return np.mean(errors)
def train_rls():
X_train, Y_train, X_test, Y_test = load_housing()
learner = RLS(X_train, Y_train, kernel="GaussianKernel", regparam=1, gamma=1)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
#Test set predictions
P_test = learner.predict(X_test)
print("leave-one-out error %f" %sqerror(Y_train, P_loo))
print("test error %f" %sqerror(Y_test, P_test))
#Sanity check, can we do better than predicting mean of training labels?
print("mean predictor %f" %sqerror(Y_test, np.ones(Y_test.shape)*np.mean(Y_train)))
def train_rls():
X_train, Y_train, X_test, Y_test = load_housing()
learner = RLS(X_train, Y_train, kernel="GaussianKernel", regparam=0.0003, gamma=0.00003)
#This is how we make predictions
P_test = learner.predict(X_test)
#We can separate the predictor from learner
predictor = learner.predictor
#And do the same predictions
P_test = predictor.predict(X_test)
#Let's get the coefficients of the predictor
A = predictor.A
print("A-coefficients " +str(A))
print("number of coefficients %d" %len(A))
def train_rls():
#Trains RLS with default parameters (regparam=1.0, kernel='LinearKernel')
X_train, Y_train, X_test, Y_test = load_housing()
learner = RLS(X_train, Y_train)
#This is how we make predictions
P_test = learner.predict(X_test)
#We can separate the predictor from learner
predictor = learner.predictor
#And do the same predictions
P_test = predictor.predict(X_test)
#Let's get the coefficients of the predictor
w = predictor.W
b = predictor.b
print("number of coefficients %d" %len(w))
print("w-coefficients " +str(w))
print("bias term %f" %b)
def train_rls():
X_train, Y_train, X_test, Y_test = load_housing()
#select randomly 100 basis vectors
indices = range(X_train.shape[0])
indices = random.sample(indices, 100)
basis_vectors = X_train[indices]
learner = RLS(X_train, Y_train, basis_vectors = basis_vectors, kernel="GaussianKernel", regparam=0.0003, gamma=0.00003)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
#Test set predictions
P_test = learner.predict(X_test)
print("leave-one-out error %f" %sqerror(Y_train, P_loo))
print("test error %f" %sqerror(Y_test, P_test))
#Sanity check, can we do better than predicting mean of training labels?
print("mean predictor %f" %sqerror(Y_test, np.ones(Y_test.shape)*np.mean(Y_train)))
def testRLS(input):
X, Y = svmlight_format.load_svmlight_file(input)
hoindices = range(int(0.1 * len(Y)))
hocompl = list(set(range(len(Y))) - set(hoindices))
trainX = X[hocompl]
testX = X[hoindices]
trainY = Y[hocompl]
testY = Y[hoindices]
print len(trainY), len(testY)
kwargs = {}
kwargs["train_features"] = trainX
kwargs["train_labels"] = trainY
rls = RLS.createLearner(**kwargs)
rls.train()
bestperf = -1.0
for logrp in range(-5, 5):
rp = 2.0 ** logrp
rls.solve(rp)
Ploo = rls.computeLOO()
perf = cindex(trainY, Ploo)
print logrp, perf
if perf > bestperf:
bestperf = perf
bestlogrp = logrp
rp = 2.0 ** bestlogrp
rls.solve(rp)
P = rls.getModel().predict(testX)
def testCGRLS(self):
m, n = 100, 300
for regparam in [0.00000001, 1, 100000000]:
Xtrain = np.mat(np.random.rand(m, n))
Y = np.mat(np.random.rand(m, 1))
rpool = {}
rpool["train_features"] = Xtrain
rpool["train_labels"] = Y
rpool["regparam"] = regparam
rpool["bias"] = 1.0
rls = RLS.createLearner(**rpool)
rls.solve(regparam)
model = rls.getModel()
W = model.W
b = model.b
rls = CGRLS.createLearner(**rpool)
rls.train()
model = rls.getModel()
W2 = model.W
b2 = model.b
for i in range(W.shape[0]):
# for j in range(W.shape[1]):
# self.assertAlmostEqual(W[i,j],W2[i,j],places=5)
self.assertAlmostEqual(W[i], W2[i], places=5)
self.assertAlmostEqual(b, b2, places=5)
def looRLS(XPath, yPath, metaPath):
X, Y = readAuto(XPath, yPath)
meta = {}
if metaPath != None:
print "Loading metadata from", metaPath
meta = result.getMeta(metaPath)
X_train, X_hidden, Y_train, Y_hidden = hidden.split(X, Y, meta=meta)
kwargs = {}
kwargs['train_features'] = X_train
kwargs['train_labels'] = Y_train
kwargs['regparam'] = 1.0
rls = RLS.createLearner(**kwargs)
rls.train()
bestperf = -1.
for logrp in range(5, 25):
rp = 2. ** logrp
rls.solve(rp)
Ploo = rls.computeLOO()
perf = cindex(Y_train, Ploo)
print "Leave-one-out %f for lambda 2^%d" %(perf, logrp)
if perf > bestperf:
bestperf = perf
bestlogrp = logrp
rp = 2. ** bestlogrp
print "Best leave-one-out %f for lambda 2^%d" %(bestperf, bestlogrp)
rls.solve(rp)
model = rls.getModel()
P = model.predict(X_hidden)
perf = cindex(Y_hidden, P)
print "final performance: %f" %perf
def nfoldRLS(X, Y, fcount):
kwargs = {}
kwargs['train_features'] = X
kwargs['train_labels'] = Y
rls = RLS.createLearner(**kwargs)
rls.train()
bestperf = -1.
for logrp in range(5, 25):
rp = 2. ** logrp
rls.solve(rp)
perfs = []
kf = KFold(len(Y), n_folds=fcount, indices=True, shuffle=True, random_state=77)
for train, test in kf:
P = rls.computeHO(test)
perf = cindex(Y[test], P)
perfs.append(perf)
perf = np.mean(perfs)
print "N-fold CV %f for lambda 2^%d" %(perf, logrp)
if perf > bestperf:
bestperf = perf
bestlogrp = logrp
rp = 2. ** bestlogrp
print "Best N-fold CV %f for lambda 2^%d" %(bestperf, bestlogrp)
rls.solve(rp)
model = rls.getModel()
return model
def train_rls():
# Trains RLS with a precomputed kernel matrix
X_train, Y_train, X_test, Y_test = load_housing()
# Minor techincal detail: adding 1.0 simulates the effect of adding a
# constant valued bias feature, as is done by 'LinearKernel' by deafault
K_train = np.dot(X_train, X_train.T) + 1.0
K_test = np.dot(X_test, X_train.T) + 1.0
learner = RLS(K_train, Y_train, kernel="PrecomputedKernel")
# Leave-one-out cross-validation predictions, this is fast due to
# computational short-cut
P_loo = learner.leave_one_out()
# Test set predictions
P_test = learner.predict(K_test)
print("leave-one-out error %f" % sqerror(Y_train, P_loo))
print("test error %f" % sqerror(Y_test, P_test))
# Sanity check, can we do better than predicting mean of training labels?
print("mean predictor %f" % sqerror(Y_test, np.ones(Y_test.shape) * np.mean(Y_train)))
def train_rls():
X_train, Y_train, foo = read_svmlight("a1a.t")
X_test, Y_test, foo = read_svmlight("a1a", X_train.shape[1])
loo_aucs = []
test_aucs = []
for i in range(1000):
X_small = X_train[i*30: i*30 + 30]
Y_small = Y_train[i*30: i*30 + 30]
learner = RLS(X_small, Y_small)
P_loo = learner.leave_one_out()
loo_a = auc(Y_small, P_loo)
P_test = learner.predict(X_test)
test_a = auc(Y_test, P_test)
loo_aucs.append(loo_a)
test_aucs.append(test_a)
print("mean loo auc over 1000 repetitions %f" %np.mean(loo_aucs))
print("mean test auc over 1000 repetitions %f" %np.mean(test_aucs))
def train_rls():
X_train, Y_train, foo = read_svmlight("a1a.t")
X_test, Y_test, foo = read_svmlight("a1a", X_train.shape[1])
learner = RLS(X_train, Y_train)
best_regparam = None
best_accuracy = 0.
#exponential grid of possible regparam values
log_regparams = range(-15, 16)
for log_regparam in log_regparams:
regparam = 2.**log_regparam
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
acc = accuracy(Y_train, P_loo)
print("regparam 2**%d, loo-accuracy %f" %(log_regparam, acc))
if acc > best_accuracy:
best_accuracy = acc
best_regparam = regparam
learner.solve(best_regparam)
P_test = learner.predict(X_test)
print("best regparam %f with loo-accuracy %f" %(best_regparam, best_accuracy))
print("test set accuracy %f" %accuracy(Y_test, P_test))
def train_rls():
#Select regparam with leave-one-out cross-validation
X_train, Y_train, X_test, Y_test = load_housing()
learner = RLS(X_train, Y_train)
best_regparam = None
best_error = float("inf")
#exponential grid of possible regparam values
log_regparams = range(-15, 16)
for log_regparam in log_regparams:
regparam = 2.**log_regparam
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
e = sqerror(Y_train, P_loo)
print("regparam 2**%d, loo-error %f" %(log_regparam, e))
if e < best_error:
best_error = e
best_regparam = regparam
learner.solve(best_regparam)
P_test = learner.predict(X_test)
print("best regparam %f with loo-error %f" %(best_regparam, best_error))
print("test error %f" %sqerror(Y_test, P_test))
def train_rls():
X_train, Y_train, X_test, Y_test = load_housing()
learner = RLS(X_train,
Y_train,
kernel="GaussianKernel",
regparam=1,
gamma=1)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
#Test set predictions
P_test = learner.predict(X_test)
print("leave-one-out error %f" % sqerror(Y_train, P_loo))
print("test error %f" % sqerror(Y_test, P_test))
#Sanity check, can we do better than predicting mean of training labels?
print("mean predictor %f" %
sqerror(Y_test,
np.ones(Y_test.shape) * np.mean(Y_train)))
def train_rls():
#Trains RLS with a precomputed kernel matrix
X_train, Y_train, X_test, Y_test = load_housing()
#Minor techincal detail: adding 1.0 simulates the effect of adding a
#constant valued bias feature, as is done by 'LinearKernel' by deafault
K_train = np.dot(X_train, X_train.T) + 1.0
K_test = np.dot(X_test, X_train.T) + 1.0
learner = RLS(K_train, Y_train, kernel="PrecomputedKernel")
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
#Test set predictions
P_test = learner.predict(K_test)
print("leave-one-out error %f" % sqerror(Y_train, P_loo))
print("test error %f" % sqerror(Y_test, P_test))
#Sanity check, can we do better than predicting mean of training labels?
print("mean predictor %f" %
sqerror(Y_test,
np.ones(Y_test.shape) * np.mean(Y_train)))
def search_params_linear(trainX, trainY, group_ids, rprange):
"""Search best parameters for kernel and regularization."""
kwargs = {
'train_features': trainX,
'train_labels': trainY,
'kernel_obj': LinearKernel(trainX),
}
rls = RLS.createLearner(**kwargs)
rls.train()
perf, perf_groups, rp = search_rp(rls, trainY, group_ids, rprange)
return perf, perf_groups, rp
def test_leave_pair_out(self):
#compares holdout and leave-pair-out
start = [0, 2, 3, 5]
end = [1, 3, 6, 8]
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
#LPO with linear kernel
rls1 = RLS(X, Y, regparam = 7.0, bias=3.0)
lpo_start, lpo_end = rls1.leave_pair_out(start, end)
ho_start, ho_end = [], []
for i in range(len(start)):
P = rls1.holdout([start[i], end[i]])
ho_start.append(P[0])
ho_end.append(P[1])
ho_start = np.array(ho_start)
ho_end = np.array(ho_end)
assert_allclose(ho_start, lpo_start)
assert_allclose(ho_end, lpo_end)
#LPO Gaussian kernel
rls1 = RLS(X, Y, regparam = 11.0, kenerl="PolynomialKernel", coef0=1, degree=3)
lpo_start, lpo_end = rls1.leave_pair_out(start, end)
ho_start, ho_end = [], []
for i in range(len(start)):
P = rls1.holdout([start[i], end[i]])
ho_start.append(P[0])
ho_end.append(P[1])
ho_start = np.array(ho_start)
ho_end = np.array(ho_end)
assert_allclose(ho_start, lpo_start)
assert_allclose(ho_end, lpo_end)
def test_kernel(self):
#tests that learning with kernels works
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
#Basic case
dual_rls = RLS(X, Y, kernel= "GaussianKernel", regparam=5.0, gamma=0.01)
kernel = GaussianKernel(X, gamma = 0.01)
K = kernel.getKM(X)
m = K.shape[0]
A = dual_rls.predictor.A
A2 = np.linalg.solve(K+5.0*np.eye(m), Y)
assert_allclose(A, A2)
#Fast regularization
dual_rls.solve(1000)
A = dual_rls.predictor.A
A2 = np.linalg.solve(K+ 1000 * np.eye(m), Y)
assert_allclose(A, A2)
#Precomputed kernel
dual_rls = RLS(K, Y, kernel="PrecomputedKernel", regparam = 1000)
assert_allclose(dual_rls.predictor.W, A2)
#Reduced set approximation
kernel = PolynomialKernel(X[self.bvectors], gamma=0.5, coef0 = 1.2, degree = 2)
Kr = kernel.getKM(X)
Krr = kernel.getKM(X[self.bvectors])
dual_rls = RLS(X, Y, kernel="PolynomialKernel", basis_vectors = X[self.bvectors], regparam = 200, gamma=0.5, coef0=1.2, degree = 2)
A = dual_rls.predictor.A
A2 = np.linalg.solve(np.dot(Kr.T, Kr)+ 200 * Krr, np.dot(Kr.T, Y))
assert_allclose(A, A2)
dual_rls = RLS(Kr, Y, kernel="PrecomputedKernel", basis_vectors = Krr, regparam=200)
A = dual_rls.predictor.W
assert_allclose(A, A2)
def train_rls():
#Selects both the gamma parameter for Gaussian kernel, and regparam with loocv
X_train, Y_train, X_test, Y_test = load_housing()
regparams = [2.**i for i in range(-15, 16)]
gammas = regparams
best_regparam = None
best_gamma = None
best_error = float("inf")
for gamma in gammas:
#New RLS is initialized for each kernel parameter
learner = RLS(X_train, Y_train, kernel="GaussianKernel", gamma=gamma)
for regparam in regparams:
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
e = sqerror(Y_train, P_loo)
#print "regparam", regparam, "gamma", gamma, "loo-error", e
if e < best_error:
best_error = e
best_regparam = regparam
best_gamma = gamma
learner = RLS(X_train, Y_train, regparam = best_regparam, kernel="GaussianKernel", gamma=best_gamma)
P_test = learner.predict(X_test)
print("best parameters gamma %f regparam %f" %(best_gamma, best_regparam))
print("best leave-one-out error %f" %best_error)
print("test error %f" %sqerror(Y_test, P_test))
def testCGRLS(self):
m, n = 100, 300
for regparam in [0.00000001, 1, 100000000]:
Xtrain = np.mat(np.random.rand(m, n))
Y = np.mat(np.random.rand(m, 1))
rpool = {}
rpool['X'] = Xtrain
rpool['Y'] = Y
rpool['regparam'] = regparam
rpool["bias"] = 2.0
rls = RLS(**rpool)
rls.solve(regparam)
model = rls.predictor
W = model.W
b = model.b
rls = CGRLS(**rpool)
model = rls.predictor
W2 = model.W
b2 = model.b
for i in range(W.shape[0]):
self.assertAlmostEqual(W[i], W2[i], places=5)
self.assertAlmostEqual(b, b2, places=5)
def train_rls():
X_train, Y_train, X_test, Y_test = load_housing()
#select randomly 100 basis vectors
indices = range(X_train.shape[0])
indices = random.sample(indices, 100)
basis_vectors = X_train[indices]
learner = RLS(X_train,
Y_train,
basis_vectors=basis_vectors,
kernel="GaussianKernel",
regparam=0.0003,
gamma=0.00003)
#Leave-one-out cross-validation predictions, this is fast due to
#computational short-cut
P_loo = learner.leave_one_out()
#Test set predictions
P_test = learner.predict(X_test)
print("leave-one-out error %f" % sqerror(Y_train, P_loo))
print("test error %f" % sqerror(Y_test, P_test))
#Sanity check, can we do better than predicting mean of training labels?
print("mean predictor %f" %
sqerror(Y_test,
np.ones(Y_test.shape) * np.mean(Y_train)))
def plot_rls():
#Select regparam with k-fold cross-validation,
#where instances related to a single sentence form
#together a fold
X_train = read_sparse("train_2000_x.txt")
Y_train = np.loadtxt("train_2000_y.txt")
X_test = read_sparse("test_2000_x.txt", X_train.shape[1])
Y_test = np.loadtxt("test_2000_y.txt")
#list of sentence ids
ids = np.loadtxt("train_2000_qids.txt")
#mapped to a list of lists, where each list
#contains indices for one fold
folds = map_ids(ids)
learner = RLS(X_train, Y_train)
best_regparam = None
best_error = float("inf")
#exponential grid of possible regparam values
log_regparams = range(-15, 16)
kfold_errors = []
loo_errors = []
test_errors = []
for log_regparam in log_regparams:
regparam = 2.**log_regparam
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#K-fold cross-validation
perfs = []
for fold in folds:
#computes holdout predictions, where instances
#in fold are left out of training set
P = learner.holdout(fold)
perfs.append(sqerror(Y_train[fold], P))
e_kfold = np.mean(perfs)
kfold_errors.append(e_kfold)
P_loo = learner.leave_one_out()
e_loo = sqerror(Y_train, P_loo)
loo_errors.append(e_loo)
P_test = learner.predict(X_test)
e_test = sqerror(Y_test, P_test)
test_errors.append(e_test)
plt.semilogy(log_regparams, loo_errors, label="leave-one-out")
plt.semilogy(log_regparams, kfold_errors, label="leave-sentence-out")
plt.semilogy(log_regparams, test_errors, label="test error")
plt.xlabel("$log_2(\lambda)$")
plt.ylabel("mean squared error")
plt.legend(loc=3)
plt.show()
def train_rls():
#Select regparam with k-fold cross-validation,
#where instances related to a single sentence form
#together a fold
X_train = read_sparse("train_2000_x.txt")
Y_train = np.loadtxt("train_2000_y.txt")
X_test = read_sparse("test_2000_x.txt", X_train.shape[1])
Y_test = np.loadtxt("test_2000_y.txt")
#list of sentence ids
ids = np.loadtxt("train_2000_qids.txt")
#mapped to a list of lists, where each list
#contains indices for one fold
folds = map_ids(ids)
learner = RLS(X_train, Y_train)
best_regparam = None
best_error = float("inf")
#exponential grid of possible regparam values
log_regparams = range(-15, 16)
for log_regparam in log_regparams:
regparam = 2.**log_regparam
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#K-fold cross-validation
P = np.zeros(Y_train.shape)
for fold in folds:
#computes holdout predictions, where instances
#in fold are left out of training set
P[fold] = learner.holdout(fold)
e = sqerror(Y_train, P)
print("regparam 2**%d, k-fold error %f" % (log_regparam, e))
if e < best_error:
best_error = e
best_regparam = regparam
learner.solve(best_regparam)
P_test = learner.predict(X_test)
print("best regparam %f k-fold error %f" % (best_regparam, best_error))
print("test error %f" % sqerror(Y_test, P_test))
def search_params_nonlinear(trainX, trainY, group_ids, rprange, gammarange):
"""Search best parameters for kernel and regularization."""
bestperf = -1.
for loggamma in range(*gammarange):
gamma = 2. ** loggamma
kwargs = {
'train_features': trainX,
'train_labels': trainY,
#'kernel_obj': LinearKernel(trainX),
'kernel_obj': GaussianKernel(trainX, gamma=gamma),
#'kernel_obj': PolynomialKernel(trainX, gamma=gamma, coef0=1, degree=2),
}
rls = RLS.createLearner(**kwargs)
rls.train()
perf, perf_groups, rp = search_rp(rls, trainY, group_ids, rprange)
if perf > bestperf:
bestperf = perf
bestperf_groups = perf_groups
bestrp = rp
bestgamma = gamma
return bestperf, bestperf_groups, bestrp, bestgamma
def plot_rls():
#Select regparam with k-fold cross-validation,
#where instances related to a single sentence form
#together a fold
X_train = read_sparse("train_2000_x.txt")
Y_train = np.loadtxt("train_2000_y.txt")
X_test = read_sparse("test_2000_x.txt", X_train.shape[1])
Y_test = np.loadtxt("test_2000_y.txt")
#list of sentence ids
ids = np.loadtxt("train_2000_qids.txt")
#mapped to a list of lists, where each list
#contains indices for one fold
folds = map_ids(ids)
learner = RLS(X_train, Y_train)
best_regparam = None
best_error = float("inf")
#exponential grid of possible regparam values
log_regparams = range(-15, 16)
kfold_errors = []
loo_errors = []
test_errors = []
for log_regparam in log_regparams:
regparam = 2.**log_regparam
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#K-fold cross-validation
perfs = []
for fold in folds:
#computes holdout predictions, where instances
#in fold are left out of training set
P = learner.holdout(fold)
perfs.append(sqerror(Y_train[fold], P))
e_kfold = np.mean(perfs)
kfold_errors.append(e_kfold)
P_loo = learner.leave_one_out()
e_loo = sqerror(Y_train, P_loo)
loo_errors.append(e_loo)
P_test = learner.predict(X_test)
e_test = sqerror(Y_test, P_test)
test_errors.append(e_test)
plt.semilogy(log_regparams, loo_errors, label = "leave-one-out")
plt.semilogy(log_regparams, kfold_errors, label = "leave-sentence-out")
plt.semilogy(log_regparams, test_errors, label = "test error")
plt.xlabel("$log_2(\lambda)$")
plt.ylabel("mean squared error")
plt.legend(loc=3)
plt.show()
def train_rls():
#Select regparam with k-fold cross-validation,
#where instances related to a single sentence form
#together a fold
X_train = read_sparse("train_2000_x.txt")
Y_train = np.loadtxt("train_2000_y.txt")
X_test = read_sparse("test_2000_x.txt", X_train.shape[1])
Y_test = np.loadtxt("test_2000_y.txt")
#list of sentence ids
ids = np.loadtxt("train_2000_qids.txt")
#mapped to a list of lists, where each list
#contains indices for one fold
folds = map_ids(ids)
learner = RLS(X_train, Y_train)
best_regparam = None
best_error = float("inf")
#exponential grid of possible regparam values
log_regparams = range(-15, 16)
for log_regparam in log_regparams:
regparam = 2.**log_regparam
#RLS is re-trained with the new regparam, this
#is very fast due to computational short-cut
learner.solve(regparam)
#K-fold cross-validation
P = np.zeros(Y_train.shape)
for fold in folds:
#computes holdout predictions, where instances
#in fold are left out of training set
P[fold] = learner.holdout(fold)
e = sqerror(Y_train, P)
print("regparam 2**%d, k-fold error %f" %(log_regparam, e))
if e < best_error:
best_error = e
best_regparam = regparam
learner.solve(best_regparam)
P_test = learner.predict(X_test)
print("best regparam %f k-fold error %f" %(best_regparam, best_error))
print("test error %f" %sqerror(Y_test, P_test))
def testRLS(self):
print
print
print
print
print("Testing the cross-validation routines of the RLS module.")
print
print
floattype = np.float64
m, n = 400, 100
Xtrain = np.random.rand(m, n)
K = np.dot(Xtrain, Xtrain.T)
ylen = 2
Y = np.zeros((m, ylen), dtype=floattype)
Y = np.random.rand(m, ylen)
hoindices = [45]
hoindices2 = [45, 50]
hoindices3 = [45, 50, 55]
hocompl = list(set(range(m)) - set(hoindices))
Kho = K[np.ix_(hocompl, hocompl)]
Yho = Y[hocompl]
kwargs = {}
kwargs['Y'] = Y
kwargs['X'] = K
kwargs['kernel'] = 'PrecomputedKernel'
dualrls = RLS(**kwargs)
kwargs = {}
kwargs["X"] = Xtrain
kwargs["Y"] = Y
kwargs["bias"] = 0.
primalrls = RLS(**kwargs)
kwargs = {}
kwargs['Y'] = Yho
kwargs['X'] = Kho
kwargs['kernel'] = 'PrecomputedKernel'
dualrls_naive = RLS(**kwargs)
testkm = K[np.ix_(hocompl, hoindices)]
trainX = Xtrain[hocompl]
testX = Xtrain[hoindices]
kwargs = {}
kwargs['Y'] = Yho
kwargs['X'] = trainX
kwargs["bias"] = 0.
primalrls_naive = RLS(**kwargs)
loglambdas = range(-5, 5)
for j in range(0, len(loglambdas)):
regparam = 2.**loglambdas[j]
print
print("Regparam 2^%1d" % loglambdas[j])
dumbho = np.dot(
testkm.T,
np.dot(la.inv(Kho + regparam * np.eye(Kho.shape[0])), Yho))
dumbho = np.squeeze(dumbho)
print(str(dumbho) + ' Dumb HO (dual)')
dualrls_naive.solve(regparam)
predho1 = dualrls_naive.predictor.predict(testkm.T)
print(str(predho1) + ' Naive HO (dual)')
dualrls.solve(regparam)
predho2 = dualrls.holdout(hoindices)
print(str(predho2) + ' Fast HO (dual)')
dualrls.solve(regparam)
predho = dualrls.leave_one_out()[hoindices[0]]
print(str(predho) + ' Fast LOO (dual)')
primalrls_naive.solve(regparam)
predho3 = primalrls_naive.predictor.predict(testX)
print(str(predho3) + ' Naive HO (primal)')
primalrls.solve(regparam)
predho4 = primalrls.holdout(hoindices)
print(str(predho4) + ' Fast HO (primal)')
for predho in [predho1, predho2, predho3, predho4]:
self.assertEqual(dumbho.shape, predho.shape)
assert_allclose(dumbho, predho)
#for row in range(predho.shape[0]):
# for col in range(predho.shape[1]):
# self.assertAlmostEqual(dumbho[row,col],predho[row,col])
primalrls.solve(regparam)
predho = primalrls.leave_one_out()[hoindices[0]]
print(str(predho) + ' Fast LOO (primal)')
print()
hoindices = range(100, 300)
hocompl = list(set(range(m)) - set(hoindices))
Kho = K[np.ix_(hocompl, hocompl)]
Yho = Y[hocompl]
testkm = K[np.ix_(hocompl, hoindices)]
dumbho = np.dot(
testkm.T, np.dot(la.inv(Kho + regparam * np.eye(Kho.shape[0])),
Yho))
kwargs = {}
kwargs['Y'] = Y
kwargs['X'] = Xtrain
dualrls.solve(regparam)
predho2 = dualrls.holdout(hoindices2)
print(str(predho2) + ' Fast HO')
hopred = dualrls.leave_pair_out(np.array([hoindices2[0], 4, 6]),
np.array([hoindices2[1], 5, 7]))
print(str(hopred[0][0]) + '\n' + str(hopred[1][0]) + ' Fast LPO')
def testRLS(self):
print("\n\n\n\nTesting the cross-validation routines of the RLS module.\n\n")
m, n = 100, 300
Xtrain = random.rand(m, n)
Y = mat(random.rand(m, 1))
basis_vectors = [0,3,7,8]
#hoindices = [45, 50, 55]
hoindices = [0, 1, 2]
hocompl = list(set(range(m)) - set(hoindices))
bk = GaussianKernel(**{'X':Xtrain[basis_vectors], 'gamma':0.001})
rpool = {}
rpool['X'] = Xtrain
bk2 = GaussianKernel(**{'X':Xtrain, 'gamma':0.001})
K = np.mat(bk2.getKM(Xtrain))
Yho = Y[hocompl]
rpool = {}
rpool['Y'] = Y
rpool['X'] = Xtrain
rpool['basis_vectors'] = Xtrain[basis_vectors]
Xhocompl = Xtrain[hocompl]
testX = Xtrain[hoindices]
rpool = {}
rpool['Y'] = Yho
rpool['X'] = Xhocompl
rpool["kernel"] = "RsetKernel"
rpool["base_kernel"] = bk
rpool["basis_features"] = Xtrain[basis_vectors]
#rk = RsetKernel(**{'base_kernel':bk, 'basis_features':Xtrain[basis_vectors], 'X':Xhocompl})
dualrls_naive = RLS(**rpool)
rpool = {}
rpool['Y'] = Yho
rpool['X'] = Xhocompl
rsaK = K[:, basis_vectors] * la.inv(K[ix_(basis_vectors, basis_vectors)]) * K[basis_vectors]
rsaKho = rsaK[ix_(hocompl, hocompl)]
rsa_testkm = rsaK[ix_(hocompl, hoindices)]
loglambdas = range(-5, 5)
for j in range(0, len(loglambdas)):
regparam = 2. ** loglambdas[j]
print("\nRegparam 2^%1d" % loglambdas[j])
print((rsa_testkm.T * la.inv(rsaKho + regparam * eye(rsaKho.shape[0])) * Yho).T, 'Dumb HO (dual)')
dumbho = np.squeeze(np.array(rsa_testkm.T * la.inv(rsaKho + regparam * eye(rsaKho.shape[0])) * Yho))
dualrls_naive.solve(regparam)
predho1 = np.squeeze(dualrls_naive.predictor.predict(testX))
print(predho1.T, 'Naive HO (dual)')
#dualrls.solve(regparam)
#predho2 = np.squeeze(dualrls.computeHO(hoindices))
#print predho2.T, 'Fast HO (dual)'
for predho in [dumbho, predho1]:#, predho2]:
self.assertEqual(dumbho.shape, predho.shape)
for row in range(predho.shape[0]):
#for col in range(predho.shape[1]):
# self.assertAlmostEqual(dumbho[row,col],predho[row,col])
self.assertAlmostEqual(dumbho[row],predho[row])
def test_linear(self):
#Test that learning with linear kernel works correctly both
#with low and high-dimensional data
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
#Basic case
primal_rls = RLS(X, Y, regparam=1.0, bias=0.)
W = primal_rls.predictor.W
d = X.shape[1]
W2 = np.linalg.solve(np.dot(X.T, X) + np.eye(d), np.dot(X.T, Y))
assert_allclose(W, W2)
#Fast regularization algorithm
primal_rls.solve(10.)
W = primal_rls.predictor.W
W2 = np.linalg.solve(np.dot(X.T, X) + 10.*np.eye(d), np.dot(X.T, Y))
assert_allclose(W, W2)
#Bias term included
primal_rls = RLS(X, Y, regparam=1.0, bias=2.)
O = np.sqrt(2.) * np.ones((X.shape[0],1))
X_new = np.hstack((X, O))
W = primal_rls.predictor.W
W2 = np.linalg.solve(np.dot(X_new.T, X_new) + np.eye(d+1), np.dot(X_new.T, Y))
b = primal_rls.predictor.b
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, np.sqrt(2) * b2)
#reduced set approximation
primal_rls = RLS(X, Y, basis_vectors = X[self.bvectors], regparam=5.0, bias=2.)
W = primal_rls.predictor.W
b = primal_rls.predictor.b
K = np.dot(X_new, X_new.T)
Kr = K[:, self.bvectors]
Krr = K[np.ix_(self.bvectors, self.bvectors)]
A = np.linalg.solve(np.dot(Kr.T, Kr)+ 5.0 * Krr, np.dot(Kr.T, Y))
W2 = np.dot(X_new[self.bvectors].T, A)
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, np.sqrt(2) * b2)
#Using pre-computed linear kernel matrix
kernel = LinearKernel(X, bias = 2.)
K = kernel.getKM(X)
dual_rls = RLS(K, Y, kernel = "PrecomputedKernel", regparam=0.01)
W = np.dot(X_new.T, dual_rls.predictor.W)
b = W[-1]
W = W[:-1]
W2 = np.linalg.solve(np.dot(X_new.T, X_new) + 0.01 * np.eye(d+1), np.dot(X_new.T, Y))
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, b2)
#Pre-computed linear kernel, reduced set approximation
kernel = LinearKernel(X[self.bvectors], bias = 2.)
dual_rls = RLS(kernel.getKM(X), Y, kernel="PrecomputedKernel", basis_vectors = kernel.getKM(X[self.bvectors]), regparam=5.0)
W = np.dot(X_new[self.bvectors].T, dual_rls.predictor.W)
b = W[-1]
W = W[:-1]
K = np.dot(X_new, X_new.T)
Kr = K[:, self.bvectors]
Krr = K[np.ix_(self.bvectors, self.bvectors)]
A = np.linalg.solve(np.dot(Kr.T, Kr)+ 5.0 * Krr, np.dot(Kr.T, Y))
W2 = np.dot(X_new[self.bvectors].T, A)
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, b2)
def test_holdout(self):
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
m = X.shape[0]
hoindices = [3, 5, 8, 10, 17, 21]
hocompl = list(set(range(m)) - set(hoindices))
#Holdout with linear kernel
rls1 = RLS(X, Y)
rls2 = RLS(X[hocompl], Y[hocompl])
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Holdout with bias
rls1 = RLS(X, Y, bias=3.0)
rls2 = RLS(X[hocompl], Y[hocompl], bias=3.0)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Fast regularization
for i in range(-15, 15):
rls1.solve(2**i)
rls2.solve(2**i)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Kernel holdout
rls1 = RLS(X, Y, kernel="GaussianKernel", gamma=0.01)
rls2 = RLS(X[hocompl],
Y[hocompl],
kernel="GaussianKernel",
gamma=0.01)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
for i in range(-15, 15):
rls1.solve(2**i)
rls2.solve(2**i)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Incorrect indices
I = [0, 3, 100]
self.assertRaises(IndexError, rls1.holdout, I)
I = [-1, 0, 2]
self.assertRaises(IndexError, rls1.holdout, I)
I = [1, 1, 2]
self.assertRaises(IndexError, rls1.holdout, I)
def loo_core(X,y,regparam):
learner = RLS(X,y,regparam, bias=0.)
p = learner.leave_one_out()
e = sqerror(y, p)
return e
def testRLS(self):
print
print
print
print
print("Testing the cross-validation routines of the RLS module.")
print
print
floattype = np.float64
m, n = 400, 100
Xtrain = np.random.rand(m, n)
K = np.dot(Xtrain, Xtrain.T)
ylen = 2
Y = np.zeros((m, ylen), dtype=floattype)
Y = np.random.rand(m, ylen)
hoindices = [45]
hoindices2 = [45, 50]
hoindices3 = [45, 50, 55]
hocompl = list(set(range(m)) - set(hoindices))
Kho = K[np.ix_(hocompl, hocompl)]
Yho = Y[hocompl]
kwargs = {}
kwargs['Y'] = Y
kwargs['X'] = K
kwargs['kernel'] = 'PrecomputedKernel'
dualrls = RLS(**kwargs)
kwargs = {}
kwargs["X"] = Xtrain
kwargs["Y"] = Y
kwargs["bias"] = 0.
primalrls = RLS(**kwargs)
kwargs = {}
kwargs['Y'] = Yho
kwargs['X'] = Kho
kwargs['kernel'] = 'PrecomputedKernel'
dualrls_naive = RLS(**kwargs)
testkm = K[np.ix_(hocompl, hoindices)]
trainX = Xtrain[hocompl]
testX = Xtrain[hoindices]
kwargs = {}
kwargs['Y'] = Yho
kwargs['X'] = trainX
kwargs["bias"] = 0.
primalrls_naive = RLS(**kwargs)
loglambdas = range(-5, 5)
for j in range(0, len(loglambdas)):
regparam = 2. ** loglambdas[j]
print
print("Regparam 2^%1d" % loglambdas[j])
dumbho = np.dot(testkm.T, np.dot(la.inv(Kho + regparam * np.eye(Kho.shape[0])), Yho))
dumbho = np.squeeze(dumbho)
print(str(dumbho) + ' Dumb HO (dual)')
dualrls_naive.solve(regparam)
predho1 = dualrls_naive.predictor.predict(testkm.T)
print(str(predho1) + ' Naive HO (dual)')
dualrls.solve(regparam)
predho2 = dualrls.holdout(hoindices)
print(str(predho2) + ' Fast HO (dual)')
dualrls.solve(regparam)
predho = dualrls.leave_one_out()[hoindices[0]]
print(str(predho) + ' Fast LOO (dual)')
primalrls_naive.solve(regparam)
predho3 = primalrls_naive.predictor.predict(testX)
print(str(predho3) + ' Naive HO (primal)')
primalrls.solve(regparam)
predho4 = primalrls.holdout(hoindices)
print(str(predho4) + ' Fast HO (primal)')
for predho in [predho1, predho2, predho3, predho4]:
self.assertEqual(dumbho.shape, predho.shape)
assert_allclose(dumbho, predho)
#for row in range(predho.shape[0]):
# for col in range(predho.shape[1]):
# self.assertAlmostEqual(dumbho[row,col],predho[row,col])
primalrls.solve(regparam)
predho = primalrls.leave_one_out()[hoindices[0]]
print(str(predho) + ' Fast LOO (primal)')
print()
hoindices = range(100, 300)
hocompl = list(set(range(m)) - set(hoindices))
Kho = K[np.ix_(hocompl, hocompl)]
Yho = Y[hocompl]
testkm = K[np.ix_(hocompl, hoindices)]
dumbho = np.dot(testkm.T, np.dot(la.inv(Kho + regparam * np.eye(Kho.shape[0])), Yho))
kwargs = {}
kwargs['Y'] = Y
kwargs['X'] = Xtrain
dualrls.solve(regparam)
predho2 = dualrls.holdout(hoindices2)
print(str(predho2) + ' Fast HO')
hopred = dualrls.leave_pair_out(np.array([hoindices2[0], 4, 6]), np.array([hoindices2[1], 5, 7]))
print(str(hopred[0][0]) + '\n' + str(hopred[1][0]) + ' Fast LPO')
def test_holdout(self):
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
m = X.shape[0]
hoindices = [3, 5, 8, 10, 17, 21]
hocompl = list(set(range(m)) - set(hoindices))
#Holdout with linear kernel
rls1 = RLS(X, Y)
rls2 = RLS(X[hocompl], Y[hocompl])
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Holdout with bias
rls1 = RLS(X, Y, bias = 3.0)
rls2 = RLS(X[hocompl], Y[hocompl], bias = 3.0)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Fast regularization
for i in range(-15, 15):
rls1.solve(2**i)
rls2.solve(2**i)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Kernel holdout
rls1 = RLS(X, Y, kernel = "GaussianKernel", gamma = 0.01)
rls2 = RLS(X[hocompl], Y[hocompl], kernel = "GaussianKernel", gamma = 0.01)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
for i in range(-15, 15):
rls1.solve(2**i)
rls2.solve(2**i)
P1 = rls1.holdout(hoindices)
P2 = rls2.predict(X[hoindices])
assert_allclose(P1, P2)
#Incorrect indices
I = [0, 3, 100]
self.assertRaises(IndexError, rls1.holdout, I)
I = [-1, 0, 2]
self.assertRaises(IndexError, rls1.holdout, I)
I = [1,1,2]
self.assertRaises(IndexError, rls1.holdout, I)
def test_loo(self):
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
m = X.shape[0]
#LOO with linear kernel
rls1 = RLS(X, Y, regparam=7.0, bias=3.0)
P1 = rls1.leave_one_out()
P2 = []
for i in range(X.shape[0]):
X_train = np.delete(X, i, axis=0)
Y_train = np.delete(Y, i, axis=0)
X_test = X[i]
rls2 = RLS(X_train, Y_train, regparam=7.0, bias=3.0)
P2.append(rls2.predict(X_test))
P2 = np.array(P2)
assert_allclose(P1, P2)
#Fast regularization
rls1.solve(1024)
P1 = rls1.leave_one_out()
P2 = []
for i in range(X.shape[0]):
X_train = np.delete(X, i, axis=0)
Y_train = np.delete(Y, i, axis=0)
X_test = X[i]
rls2 = RLS(X_train, Y_train, regparam=1024, bias=3.0)
P2.append(rls2.predict(X_test))
P2 = np.array(P2)
assert_allclose(P1, P2)
#kernels
rls1 = RLS(X, Y, kernel="GaussianKernel", gamma=0.01)
P1 = rls1.leave_one_out()
P2 = []
for i in range(X.shape[0]):
X_train = np.delete(X, i, axis=0)
Y_train = np.delete(Y, i, axis=0)
X_test = X[i]
rls2 = RLS(X_train,
Y_train,
kernel="GaussianKernel",
gamma=0.01)
P2.append(rls2.predict(X_test))
P2 = np.array(P2)
assert_allclose(P1, P2)
class LooRLS(object):
def __init__(self):
self.learner = None
self.y_src = None
self.measure = None
def fit(self,
X_src,
y_src,
X_tgt_known,
y_tgt_known,
X_tgt_unknown,
y_tgt_unknown,
verbose=False):
# Map labels from set {1,2,3} to one-vs-all encoding
if np.count_nonzero(y_src) >= len(y_src):
zerolabels = False
else:
zerolabels = True
y_src = to_one_vs_all(y_src, zerolabels)
regparams = [2.**i for i in range(-15, 16)]
if len(np.unique(y_src)) > 2:
self.measure = ova_accuracy
else:
self.measure = accuracy
self.learner = LeaveOneOutRLS(X_src,
y_src,
regparams=regparams,
measure=self.measure)
p_tgt = self.learner.predict(X_tgt_known)
# ova_accuracy computes one-vs-all classification accuracy directly between transformed
# class label matrix, and a matrix of predictions, where each column corresponds to a class
self.learner = RLS(X_src, y_src)
best_regparam = None
best_accuracy = 0.
# exponential grid of possible regparam values
log_regparams = range(-15, 16)
for log_regparam in log_regparams:
regparam = 2.**log_regparam
# RLS is re-trained with the new regparam, this
# is very fast due to computational short-cut
self.learner.solve(regparam)
# Leave-one-out cross-validation predictions, this is fast due to
# computational short-cut
P_loo = self.learner.leave_one_out()
acc = self.measure(y_src, P_loo)
if verbose == True:
print("LooRLS regparam 2**%d, loo-accuracy %f" %
(log_regparam, acc))
if acc > best_accuracy:
best_accuracy = acc
best_regparam = regparam
self.learner.solve(best_regparam)
if verbose == True:
print("LooRLS best regparam %f with loo-accuracy %f" %
(best_regparam, best_accuracy))
def predict(self, X, y=None):
ypred = self.learner.predict(X)
if y is not None:
if np.count_nonzero(y) >= len(y):
zerolabels = False
else:
zerolabels = True
y = to_one_vs_all(y, zerolabels)
return ypred, self.measure(y, ypred)
return ypred
def test_linear(self):
#Test that learning with linear kernel works correctly both
#with low and high-dimensional data
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
#Basic case
primal_rls = RLS(X, Y, regparam=1.0, bias=0.)
W = primal_rls.predictor.W
d = X.shape[1]
W2 = np.linalg.solve(
np.dot(X.T, X) + np.eye(d), np.dot(X.T, Y))
assert_allclose(W, W2)
#Fast regularization algorithm
primal_rls.solve(10.)
W = primal_rls.predictor.W
W2 = np.linalg.solve(
np.dot(X.T, X) + 10. * np.eye(d), np.dot(X.T, Y))
assert_allclose(W, W2)
#Bias term included
primal_rls = RLS(X, Y, regparam=1.0, bias=2.)
O = np.sqrt(2.) * np.ones((X.shape[0], 1))
X_new = np.hstack((X, O))
W = primal_rls.predictor.W
W2 = np.linalg.solve(
np.dot(X_new.T, X_new) + np.eye(d + 1), np.dot(X_new.T, Y))
b = primal_rls.predictor.b
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, np.sqrt(2) * b2)
#reduced set approximation
primal_rls = RLS(X,
Y,
basis_vectors=X[self.bvectors],
regparam=5.0,
bias=2.)
W = primal_rls.predictor.W
b = primal_rls.predictor.b
K = np.dot(X_new, X_new.T)
Kr = K[:, self.bvectors]
Krr = K[np.ix_(self.bvectors, self.bvectors)]
A = np.linalg.solve(
np.dot(Kr.T, Kr) + 5.0 * Krr, np.dot(Kr.T, Y))
W2 = np.dot(X_new[self.bvectors].T, A)
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, np.sqrt(2) * b2)
#Using pre-computed linear kernel matrix
kernel = LinearKernel(X, bias=2.)
K = kernel.getKM(X)
dual_rls = RLS(K, Y, kernel="PrecomputedKernel", regparam=0.01)
W = np.dot(X_new.T, dual_rls.predictor.W)
b = W[-1]
W = W[:-1]
W2 = np.linalg.solve(
np.dot(X_new.T, X_new) + 0.01 * np.eye(d + 1),
np.dot(X_new.T, Y))
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, b2)
#Pre-computed linear kernel, reduced set approximation
kernel = LinearKernel(X[self.bvectors], bias=2.)
dual_rls = RLS(kernel.getKM(X),
Y,
kernel="PrecomputedKernel",
basis_vectors=kernel.getKM(X[self.bvectors]),
regparam=5.0)
W = np.dot(X_new[self.bvectors].T, dual_rls.predictor.W)
b = W[-1]
W = W[:-1]
K = np.dot(X_new, X_new.T)
Kr = K[:, self.bvectors]
Krr = K[np.ix_(self.bvectors, self.bvectors)]
A = np.linalg.solve(
np.dot(Kr.T, Kr) + 5.0 * Krr, np.dot(Kr.T, Y))
W2 = np.dot(X_new[self.bvectors].T, A)
b2 = W2[-1]
W2 = W2[:-1]
assert_allclose(W, W2)
assert_allclose(b, b2)
def testRLS(self):
print
print
print
print
print "Testing the cross-validation routines of the RLS module."
print
print
floattype = float64
m, n = 100, 300
Xtrain = random.rand(m, n)
ylen = 1
Y = mat(zeros((m, ylen), dtype=floattype))
Y = mat(random.rand(m, 1))
basis_vectors = [0,3,7,8]
def complement(indices, m):
compl = range(m)
for ind in indices:
compl.remove(ind)
return compl
#hoindices = [45, 50, 55]
hoindices = [0, 1, 2]
hocompl = complement(hoindices, m)
#bk = LinearKernel.Kernel()
#bk = GaussianKernel.Kernel()
bk = GaussianKernel.createKernel(**{'train_features':Xtrain[basis_vectors], 'gamma':'0.001'})
rk = RsetKernel.createKernel(**{'base_kernel':bk, 'basis_features':Xtrain[basis_vectors], 'train_features':Xtrain})
rpool = {}
rpool['train_features'] = Xtrain
bk2 = GaussianKernel.createKernel(**{'train_features':Xtrain, 'gamma':'0.001'})
K = np.mat(bk2.getKM(Xtrain))
Kho = K[ix_(hocompl, hocompl)]
Yho = Y[hocompl]
#rpool = {}
#rpool['train_labels'] = Y
#rpool['kernel_matrix'] = K[basis_vectors]
#rpool['basis_vectors'] = basis_vectors
#dualrls = RLS.createLearner(**rpool)
rpool = {}
rpool['train_labels'] = Y
rpool['train_features'] = Xtrain
rpool['basis_vectors'] = Xtrain[basis_vectors]
primalrls = RLS.createLearner(**rpool)
testkm = K[ix_(hocompl, hoindices)]
Xhocompl = Xtrain[hocompl]
testX = Xtrain[hoindices]
rpool = {}
rpool['train_labels'] = Yho
rpool['train_features'] = Xhocompl
rk = RsetKernel.createKernel(**{'base_kernel':bk, 'basis_features':Xtrain[basis_vectors], 'train_features':Xhocompl})
rpool['kernel_obj'] = rk
dualrls_naive = RLS.createLearner(**rpool)
rpool = {}
rpool['train_labels'] = Yho
rpool['train_features'] = Xhocompl
primalrls_naive = RLS.createLearner(**rpool)
rsaK = K[:, basis_vectors] * la.inv(K[ix_(basis_vectors, basis_vectors)]) * K[basis_vectors]
rsaKho = rsaK[ix_(hocompl, hocompl)]
rsa_testkm = rsaK[ix_(hocompl, hoindices)]
loglambdas = range(-5, 5)
for j in range(0, len(loglambdas)):
regparam = 2. ** loglambdas[j]
print
print "Regparam 2^%1d" % loglambdas[j]
print (rsa_testkm.T * la.inv(rsaKho + regparam * eye(rsaKho.shape[0])) * Yho).T, 'Dumb HO (dual)'
dumbho = np.squeeze(np.array(rsa_testkm.T * la.inv(rsaKho + regparam * eye(rsaKho.shape[0])) * Yho))
dualrls_naive.solve(regparam)
predho1 = np.squeeze(dualrls_naive.getModel().predict(testX))
print predho1.T, 'Naive HO (dual)'
#dualrls.solve(regparam)
#predho2 = np.squeeze(dualrls.computeHO(hoindices))
#print predho2.T, 'Fast HO (dual)'
for predho in [dumbho, predho1]:#, predho2]:
self.assertEqual(dumbho.shape, predho.shape)
for row in range(predho.shape[0]):
#for col in range(predho.shape[1]):
# self.assertAlmostEqual(dumbho[row,col],predho[row,col])
self.assertAlmostEqual(dumbho[row],predho[row])
def testRLS(self):
print
print
print
print
print "Testing the cross-validation routines of the RLS module."
print
print
floattype = float64
m, n = 400, 100
Xtrain = mat(random.rand(m, n))
K = Xtrain * Xtrain.T
ylen = 2
Y = mat(zeros((m, ylen), dtype=floattype))
Y = mat(random.rand(m, ylen))
#hoindices = [45, 50, 55]
hoindices = [45]
hocompl = list(set(range(m)) - set(hoindices))
Kho = K[ix_(hocompl, hocompl)]
Yho = Y[hocompl]
kwargs = {}
kwargs['train_labels'] = Y
kwargs['kernel_matrix'] = K
dualrls = RLS.createLearner(**kwargs)
kwargs = {}
kwargs["train_features"] = Xtrain
kwargs["train_labels"] = Y
primalrls = RLS.createLearner(**kwargs)
kwargs = {}
kwargs['train_labels'] = Yho
kwargs['kernel_matrix'] = Kho
dualrls_naive = RLS.createLearner(**kwargs)
testkm = K[ix_(hocompl, hoindices)]
trainX = Xtrain[hocompl]
testX = Xtrain[hoindices]
kwargs = {}
kwargs['train_labels'] = Yho
kwargs['train_features'] = trainX
primalrls_naive = RLS.createLearner(**kwargs)
loglambdas = range(-5, 5)
for j in range(0, len(loglambdas)):
regparam = 2. ** loglambdas[j]
print
print "Regparam 2^%1d" % loglambdas[j]
dumbho = testkm.T * la.inv(Kho + regparam * eye(Kho.shape[0])) * Yho
print dumbho, 'Dumb HO (dual)'
dualrls_naive.solve(regparam)
predho1 = dualrls_naive.getModel().predict(testkm.T)
print predho1, 'Naive HO (dual)'
dualrls.solve(regparam)
predho2 = dualrls.computeHO(hoindices)
print predho2, 'Fast HO (dual)'
dualrls.solve(regparam)
predho = dualrls.computeLOO()[hoindices[0]]
print predho, 'Fast LOO (dual)'
primalrls_naive.solve(regparam)
predho3 = primalrls_naive.getModel().predict(testX)
print predho3, 'Naive HO (primal)'
primalrls.solve(regparam)
predho4 = primalrls.computeHO(hoindices)
print predho4, 'Fast HO (primal)'
for predho in [predho1, predho2, predho3, predho4]:
self.assertEqual(dumbho.shape, predho.shape)
for row in range(predho.shape[0]):
for col in range(predho.shape[1]):
self.assertAlmostEqual(dumbho[row,col],predho[row,col])
primalrls.solve(regparam)
predho = primalrls.computeLOO()[hoindices[0]]
print predho, 'Fast LOO (primal)'
print
hoindices = range(100, 300)
hocompl = list(set(range(m)) - set(hoindices))
Kho = K[ix_(hocompl, hocompl)]
Yho = Y[hocompl]
testkm = K[ix_(hocompl, hoindices)]
dumbho = testkm.T * la.inv(Kho + regparam * eye(Kho.shape[0])) * Yho
kwargs = {}
kwargs['train_labels'] = Yho
kwargs['kernel_matrix'] = Kho
dualrls_naive = RLS.createLearner(**kwargs)
dualrls_naive.solve(regparam)
predho1 = dualrls_naive.getModel().predict(testkm.T)
print sum(abs(predho1-dumbho)), 'Naive HO (dual)'
dualrls.solve(regparam)
predho2 = dualrls.computeHO(hoindices)
print sum(abs(predho2-dumbho)), 'Fast HO (dual)'
def test_loo(self):
for X in [self.Xtrain1, self.Xtrain2]:
for Y in [self.Ytrain1, self.Ytrain2]:
m = X.shape[0]
#LOO with linear kernel
rls1 = RLS(X, Y, regparam = 7.0, bias=3.0)
P1 = rls1.leave_one_out()
P2 = []
for i in range(X.shape[0]):
X_train = np.delete(X, i, axis=0)
Y_train = np.delete(Y, i, axis=0)
X_test = X[i]
rls2 = RLS(X_train, Y_train, regparam = 7.0, bias = 3.0)
P2.append(rls2.predict(X_test))
P2 = np.array(P2)
assert_allclose(P1, P2)
#Fast regularization
rls1.solve(1024)
P1 = rls1.leave_one_out()
P2 = []
for i in range(X.shape[0]):
X_train = np.delete(X, i, axis=0)
Y_train = np.delete(Y, i, axis=0)
X_test = X[i]
rls2 = RLS(X_train, Y_train, regparam = 1024, bias = 3.0)
P2.append(rls2.predict(X_test))
P2 = np.array(P2)
assert_allclose(P1, P2)
#kernels
rls1 = RLS(X, Y, kernel = "GaussianKernel", gamma = 0.01)
P1 = rls1.leave_one_out()
P2 = []
for i in range(X.shape[0]):
X_train = np.delete(X, i, axis=0)
Y_train = np.delete(Y, i, axis=0)
X_test = X[i]
rls2 = RLS(X_train, Y_train, kernel = "GaussianKernel", gamma = 0.01)
P2.append(rls2.predict(X_test))
P2 = np.array(P2)
assert_allclose(P1, P2)